[Quantlib-users] floating rate bond pricing on excel using quantlib

[Silvia Buttarazzi]

BootstrapCurvaEonia&Swap6M&GvTItalia&PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx>
Hi,
I'm trying to price a plain floating rate bond (namely a CCT€) using the
quantlib functions developed for excel (please see attached file, sheet
12.BondTassoVariabile)
Unfortunately, the qlBondCleanPrice is always returning #NUM! although I
think I set the needed parameters.
Could you please help me in understanding where I get wrong? Thank you very
much indeed.
Moreover I would like to know if you could suggest a different way to price
a floating rate bond. I was trying to use the function CCTE but stil I'm not
able to get a price.
I look forward to hearing from you.
Many thanks in advance for your help.

Silvia








. BootstrapCurvaEonia&Swap6M&GvTItalia&PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx>




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[John O'Sullivan]

Silvia: have you tried calling ohRangeRetrieveError with the reference of
the erroring cell as a paramter? That will give you a more detailed error
message.

Post by Silvia Buttarazzi
BootstrapCurvaEonia&Swap6M&GvTItalia&PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/
BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx>
Hi,
I'm trying to price a plain floating rate bond (namely a CCT€) using the
quantlib functions developed for excel (please see attached file, sheet
12.BondTassoVariabile)
Unfortunately, the qlBondCleanPrice is always returning #NUM! although I
think I set the needed parameters.
Could you please help me in understanding where I get wrong? Thank you very
much indeed.
Moreover I would like to know if you could suggest a different way to price
a floating rate bond. I was trying to use the function CCTE but stil I'm not
able to get a price.
I look forward to hearing from you.
Many thanks in advance for your help.
Silvia
. BootstrapCurvaEonia&Swap6M&GvTItalia&PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/
BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx>
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View this message in context: http://quantlib.10058.n7.
nabble.com/floating-rate-bond-pricing-on-excel-using-quantlib-tp18225.html
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[Ioannis Rigopoulos]

Hi Silvia

I saw you tried the function ohRangeRetrieveError already but you still
got #NUM!.

I don't know why no error description is reported in your case.

After I applied a different diagnostic tool on your spreadsheet I found
the following error message emanating from QuantLib:

/*"strike + displacement (-0.0075 + 0) must be non-negative"*/

Now the cause of the error becomes apparent. The reported value
/*0.0075*/ is exactly the spread amount you entered in cell *AF3*. This
is incompatible with the *0**% *floor strike entered in cell *AC3
*because QuantLib regards the given floor strike as the least value that
the sum *rate + spread* may attain. Thus a *0%* floor strike translates
into a negative value (*-0.0075*) as the minimum allowed value for the
rate, which results in error if negative rates are not allowed.

Please try to set floor strike equal or higher than /*0.0075 *and
/obviously a higher value for the cap strike in cell *AG3*.

If this does not work, then try to delete the *0%* from the cells *AC3
*and *AG3*, effectively leaving them blank. This should definitely work
as it signals QuantLib to use the appropriate defaults!

Cheers

Ioannis

Post by John O'Sullivan
Silvia: have you tried calling ohRangeRetrieveError with the reference
of the erroring cell as a paramter? That will give you a more detailed
error message.
On 26 April 2017 at 14:16, Silvia Buttarazzi
BootstrapCurvaEonia&Swap6M&GvTItalia&PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx>>
Hi,
I'm trying to price a plain floating rate bond (namely a CCT€) using the
quantlib functions developed for excel (please see attached file, sheet
12.BondTassoVariabile)
Unfortunately, the qlBondCleanPrice is always returning #NUM! although I
think I set the needed parameters.
Could you please help me in understanding where I get wrong? Thank you very
much indeed.
Moreover I would like to know if you could suggest a different way to price
a floating rate bond. I was trying to use the function CCTE but stil I'm not
able to get a price.
I look forward to hearing from you.
Many thanks in advance for your help.
Silvia
. BootstrapCurvaEonia&Swap6M&GvTItalia&PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx
<http://quantlib.10058.n7.nabble.com/file/n18225/BootstrapCurvaEonia%26Swap6M%26GvTItalia%26PricingEngines.xlsx>>
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<http://quantlib.10058.n7.nabble.com/floating-rate-bond-pricing-on-excel-using-quantlib-tp18225.html>
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