I'm looking for a way to convert between price and
yield using quantlib.I have yet to find
code which will help me do this.Is there
any?I would like the variables to be
yield, price, coupon rate and a period of time in days.If there is no code available in quantlib, is
there a different source that I could use?
Any help you can give me would be greatly appreciated.
>I'm looking for a way to convert between price and yield using
>quantlib. I have yet to find code which will help me do this. Is there any?
Not yet, unfortunately. It's on the to-do list (see
http://quantlib.org/status.html under The library core | Financial Tools),
but I don't know when it will be ready.
It would be nice if someone contribute code for price/yield/duration: it
should be one of those code snippets everybody wrote at least a couple of
times .... we're just looking for the first open source implementation ;-)