Timeline for Would it possible to use quantlib finance library to calculate folowing measures?
Current License: CC BY-SA 3.0
12 events
| when toggle format | what | by | license | comment | |
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| Aug 26, 2016 at 11:38 | vote | accept | amsalk | ||
| Aug 26, 2016 at 2:34 | answer | added | SmallChess | timeline score: 3 | |
| Aug 25, 2016 at 23:21 | history | tweeted | twitter.com/StackQuant/status/768951403532447744 | ||
| Aug 25, 2016 at 13:47 | comment | added | amsalk | Well as I've said I'm definetly not an expert in this area. If I understood it correctly yield describes the amount of money that returns to the owner of an instrument (bond) and yield to maturity includes also the purchase price. If I am correct, both of them would be interesting. I hope that it isn't so much work. | |
| Aug 25, 2016 at 13:39 | comment | added | SmallChess | What specific return measure are you interested? Yield? Yield-to-maturity? | |
| Aug 25, 2016 at 13:36 | history | edited | amsalk | CC BY-SA 3.0 |
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| Aug 25, 2016 at 13:28 | comment | added | amsalk | In the system I work on, there are fixed-rate, convertible as well as floating rate bonds but yes fixed-rate bonds could be taken as an example. Reset days, if the frequency is meant by reset dates, annual could be an example. A client has a portfolio (list of instruments) it can contain bonds as well as other instruments (i.e. stocks). Lets take bonds for showcase. I'm not sure how NPV could be used to calculate these measures and I would appreciate if you could write some samples and provide more info. Thx a lof for the reply and if you need more information from my side let me know. | |
| Aug 25, 2016 at 13:01 | comment | added | SmallChess | If your answer to my previous comment is yes, QuantLib can easily manage it. I think I can write you some sample code. | |
| Aug 25, 2016 at 12:59 | comment | added | SmallChess | Are you saying you have 10 fixed-rate bonds with 7% fixed-rate, the reset dates are like monthly (or yearly, doesn't matter)? You want to get the NPV of your portfolio? You'll use those the NPV to calculate returns in investment (eg: relative to how much you've paid to buy the bonds)? | |
| Aug 25, 2016 at 12:35 | history | edited | amsalk |
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| Aug 25, 2016 at 11:18 | review | First posts | |||
| Aug 25, 2016 at 19:20 | |||||
| Aug 25, 2016 at 11:17 | history | asked | amsalk | CC BY-SA 3.0 |