Bond Pricing/Yield calculation comparision with Excel's YIELD


#1

We are trying to calculate the yield for a bond using open gamma and compare it with Excel’s YIELD function and are getting different results:

Here are the bond inputs:

Settlement date = 1/30/2014
Maturity date = 5/1/2016
Rate = 8%
Price = 111

With Open gamma, I am getting a yield of 3.37% and with Excel I am getting 2.9%, any ideas?

Thanks,
Adi


#2

Ok just figured this out, Open Gamma takes an additional parameter which is the START_ACCRUAL_DATE and that parameter was not being passed correctly.