I would like to know if Strata support the method to calculate Bond price & yield when only one or 2 coupons payment are left. Bloomberg uses that method so Strata result not matching Bloomberg for less than one year to maturity.
Thanks
the attach document shows what I’m talking about:
We have not implemented price-yield conversion formulas for money market instruments in general. However, the conversion formulas for several types of fixed coupon bonds are implemented in DiscountingFixedCouponBondProductPricer including the one payment period case. Please see dirtyPriceFromYield method for more details.
Yuki
