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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%
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  • $\begingroup$ 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. $\endgroup$
    – nbbo2
    Commented Sep 13, 2020 at 19:06
  • $\begingroup$ 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. $\endgroup$
    – Magnyz
    Commented Sep 14, 2020 at 6:47
  • $\begingroup$ 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. $\endgroup$
    – Magnyz
    Commented Sep 14, 2020 at 7:05
  • $\begingroup$ 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. $\endgroup$
    – user50254
    Commented Oct 3, 2020 at 20:38
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    $\begingroup$ 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. $\endgroup$
    – Magnyz
    Commented Oct 4, 2020 at 21:09

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90.422798 is not the correct value for price for Benchmark 18A. If you were the original purchaser of the book in 1993 you would have received an errata correcting that benchmark. If you have a second printing from 1996 it contains the correct value for price of 99.422450.

I hope that helps.

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  • $\begingroup$ Thanks a lot ...90.422450 is what I get. I actually am the original purchaser of these books (Vol 1,1993, Vol 2 1994) (bought directly from SIA if I remember correctly) but have not received any errata. I have searched for an errata but did not find any and sent email without reply. Can you advice me how to obtain erratas for both volumes (since I have found more differences that I need to resolve )? $\endgroup$
    – Magnyz
    Commented Oct 19, 2020 at 6:42
  • $\begingroup$ It would have been a pink sheet that was either in the book or would have been mailed to you. I don't have that page anymore. I would be happy to try and answer any other questions you may have. Just post them. $\endgroup$
    – user50494
    Commented Oct 20, 2020 at 21:09
  • $\begingroup$ I got only one pink sheet in the book but it is related to daycount and eom. I will post a list of my differences in this thread in a week or so (or is it possible to send you an email maybe?). Thanks in advance for your assistance. $\endgroup$
    – Magnyz
    Commented Oct 22, 2020 at 6:31
  • $\begingroup$ Sorry about delay. I get different results for 19A, 20A, 21A, 22A, 23A, 24A, 25A,26A,27A,28A,29A. I get the feeling that it is a systematic error similar to 18A(above) involving odd periods. It would be great if you could provide corrections for these. I still have not been able to reach TIPS Inc. in order to try to get an errata for my book. Thanks. $\endgroup$
    – Magnyz
    Commented Nov 11, 2020 at 11:49
  • $\begingroup$ Each of the benchmarks you listed were updated in later printings of the book. I do not have an errata sheet available. However, this online calculator should produce the correct results: tipsinc.com/ficalc/calc.tips $\endgroup$
    – user50494
    Commented Nov 12, 2020 at 19:34

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