[Quantlib-users] Pricing Japan Government Bonds (JGBs) in Quantlib

[Mr D. P. <dan...@uq...>]

Hi all,

I've been attempting to model some JGB bonds in Quantlib to then use its fixed rate bond objects to try build out a discounting curve from it.

One thing I like to do is check my prices relative to Bloomberg prior to proceeding and have noticed that while the accrued interest reconciles, the prices (both clean and dirty are far off).

The reasoning seems to be that JGBs use a simple interest calculation, differing compounded calcs used by the majority of other bonds out there.

I just wanted to check if there is a method within the Quantlib bond object to directly calculate the simple yield quoted in Bloomberg using the respective Bloomberg price?

Please let me know if you need any further clarification.

Kind regards
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