gmane.comp.finance.quantlib.user

MJC1 | 17 Jul 16:24

negative yields


Hi,

I'm using the yield to maturity and IRR methods for inflation linked bonds.
When the real yield is <0 the methods are returning errors.

Does anybody have any suggestions for alternative methods to use to compute
yield for this asset class?

Thanks,

Mike
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Luigi Ballabio | 4 Aug 16:47

Re: negative yields

On Thu, 2008-07-17 at 07:26 -0700, MJC1 wrote:
> I'm using the yield to maturity and IRR methods for inflation linked bonds.
> When the real yield is <0 the methods are returning errors.
> 
> Does anybody have any suggestions for alternative methods to use to compute
> yield for this asset class?

Michael,
	sorry for the delay---vacations and all that. Did you happen to
investigate what fails exactly? Or, can you send a small example to
reproduce the error?

Luigi

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