Real Return Bonds, Strips (zero coupon) and Callable Bond pricing


#1

Hi,

I’ve been using strata for calculating price from yield and yield from price for bonds. Also defining and using a Canadian calendar to be used in the calculations. Really happy with the library.

Now I need to enhance this calculator module I wrote to include strips, real return bonds and callable bonds.

Looking through the API I couldn’t figure a way to deal with those instruments. I tried the strips by using the existing code with a zero coupon, but I get different results compared to Bloomberg (on the thirds and even second decimal place - so quite big a difference).

Can anyone point me in the right direction for implementing the right way a price/yield calculator for those instruments?
RRBs are Government of Canada bonds that pay you a rate of return that is adjusted for inflation

Thank you!


#2

While Strata has CapitalIndexedBond together with CapitalIndexedBondYieldConvention for inflation bonds in general, the real return bonds are not properly supported. Also, Strata does not currently support zero coupon bonds or callable bonds.
Feel free to contact us directly if it is of commercial interest.