# issue with benchmarks in “standard securities calculation methods”

I wonder if anyone is using the benchmark cases in "Standard securities calculation methods" issued by Securities Industry Association (Vol 1, 3rd ed.) to calibrate their implementations for US Treasuries. My impression is that this is still an important reference in the industry. I have some problems to verify a few cases (ex. #18) and would really like to discuss this with someone. Thanks.

Edit: adding details on example 18

case #18A Benchmark result for price is 90.422798. My result is 90.422450. Small diff, yes, but these are benchmarks to verify an implementation so need to match all decimals (providing benchmark is ok which I actually doubt it is after spending some time with this). FYI, it is a case with odd first and odd last periods.

Type: Treasury bond
Settledate: 10/12/92
Maturity: 06/15/20
Issuedate: 08/01/92
Fistcpndate: 12/31/92
Lastcpndate: 12/31/19
Daycount: ActAct
Freq: semi-ann
Cpnrate: 5.75%
Yield: 6.5%

• I doubt that the SSCM book could have a mistake in it. But you have given all the necessary details and someone should be able to check the book result against their code's result. – noob2 Sep 13 '20 at 19:06
• I agree. That is what I think as well but I have also checked against the TIPS Inc (which is the actual author of the SSCM-book) online calculator and there I get a 3rd result!! For anyone willing to spend time on this I can supply an xl-sheet with everything broken down into small pieces. – Magnyz Sep 14 '20 at 6:47
• A clarification of my comment above... the online calculator actually does not support case 18A (because of the odd last period). The comment about the calculator above refers to 18B which is the same example but for an agency bond (with 30360 daycount) i.e. the TIPS calculator does NOT match the benchmark in the SSCM-book. – Magnyz Sep 14 '20 at 7:05
• I am happy to take a look at the benchmark question. I am the original author of the book and am in the process of updating it. – user50254 Oct 3 '20 at 20:38
• Great. I am looking forward to your feedback as well as the future new edition of your books. They are really useful for a developer. – Magnyz Oct 4 '20 at 21:09