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
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.
Hi, has there been any progress with implementation of zero coupon bonds or callable bonds since this message was posted?
There has been no progress on this particular issue as the code currently meets OpenGamma’s business needs. Obviously as an open source project you are welcome to extend yourself and/or propose changes.
Understood. Thanks for the response.
Hi! Same question one year later as mns wrote in Jan '20:
Has there been any progress with implementation of zero coupon bonds or callable bonds since this message was posted? Just want to double check.
Thanks for reply anyways! //Mikael