[Quantlib-dev] [ quantlib-Bugs-3116601 ] Bond Yield calculation for short maturity bonds

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Bugs item #3116601, was opened at 2010-11-23 14:01
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Bond Yield calculation for short maturity bonds

Initial Comment:
Source file: bond.cpp

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>Comment By: https://www.google.com/accounts ()
Date: 2010-11-23 14:03

Message:
Rate Bond::yield(const DayCounter& dc,
                     Compounding comp,
                     Frequency freq,
                     Real accuracy,
                     Size maxEvaluations) const {
        Real currentNotional = notional(settlementDate());
        if (currentNotional == 0.0)
            return 0.0;

        return BondFunctions::yield(*this, cleanPrice(), dc, comp, freq,
                                    settlementDate(),
                                    accuracy, maxEvaluations);
    }

In the above function:
 Real currentNotional = notional(settlementDate());
should be
 Real currentNotional = notional(settlementDate(settlement));
else it will always return yield=0 if settlement < maturity date. this is
observed for short maturity bonds.

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