[Quantlib-users] Question about a formula of calculation of Yield of Bond in Quantlib

[Xu Tao]

Hello, everyone,

Recently, I have found a problem which confuses me, it's about the formula
of Yield of Bond,

I don't understand how the Quantlib calculate this Yield of Bond, is there
anyone can give some help to give me a complete formula of this Yield,
Thanks very much.

Have a nice day.

Best Regards.

[giambologna]

In the most general cases there isn't an explicit formula. Through a solver,
you look for the rate r such that the sum of discounted cashflows (discount
factors being function of r) is equal to the dirty price of the bond.

GB



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[Luigi Ballabio]

Which part of the code are you referring to, exactly? And what is the
problem?

Later,
Luigi

Post by Xu Tao
Hello, everyone,
Recently, I have found a problem which confuses me, it's about the formula
of Yield of Bond,
I don't understand how the Quantlib calculate this Yield of Bond, is there
anyone can give some help to give me a complete formula of this Yield,
Thanks very much.
Have a nice day.
Best Regards.
--
*Xu TAO*
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[Luigi Ballabio]

Ok, but what is the problem you're having?

Luigi

P.S. Please keep the mailing list in cc

The parts of codes Bond::Yield (BondsFunctions)-> CashFlows::Yield , in
these functions, the formula to calculate the result of yield.
Which part of the code are you referring to, exactly? And what is the
problem?
Later,
Luigi
Hello, everyone,
Recently, I have found a problem which confuses me, it's about the formula
of Yield of Bond,
I don't understand how the Quantlib calculate this Yield of Bond, is there
anyone can give some help to give me a complete formula of this Yield,
Thanks very much.
Have a nice day.
Best Regards.
--
*Xu TAO*
------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
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https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

It's not a formula, it's the application of an iterative solver. The
functions use one of the root solvers available in the library to find the
zero of the CashFlows::IrrFinder::operator()(Rate y) method. In short:
given a guess for the yield, the IrrFinder class calculates the
corresponding price of the bond (see the call to CashFlows::npv in the IrrF
inder::operator() method) and returns the difference between the
calculation and the target price. The used solver iteratively changes the
guess and tries to find the value for which difference is zero, that is,
the yield for which the calculated price equals the target price.

Luigi

The parts of codes Bond::Yield (BondsFunctions)-> CashFlows::Yield , in
these functions, the formula to calculate the result of yield.

Post by Luigi Ballabio
Which part of the code are you referring to, exactly? And what is the
problem?
Later,
Luigi

Post by Xu Tao
Hello, everyone,
Recently, I have found a problem which confuses me, it's about the
formula of Yield of Bond,
I don't understand how the Quantlib calculate this Yield of Bond, is
there anyone can give some help to give me a complete formula of this
Yield, Thanks very much.
Have a nice day.
Best Regards.
--
*Xu TAO*
------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
https://lists.sourceforge.net/lists/listinfo/quantlib-users