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Hi, I found that if we are in the last coupon period gnumeric
returns a different price than excel. According to my HP calculator, excel is
right, and gnumeric is wrong. Here is one example (dates are in dd-mm-yyyy format): Settlement: 07-10-2005 Maturity: 15-04-2006 Rate: 4.875% Yield: 2.4394559% Frequency: 1 Formula: 1 For these values, price returns 101.226114 in Excel
and HP calculator, when gnumeric gives 101.230116. I am not really a C programmer, but I would suggest
the following changes in the price routine (in plugins/fn-financial/functions.c): static gnm_float price (GDate *settlement, GDate *maturity,
gnm_float rate, gnm_float yield, gnm_float
redemption, GnmCouponConvention const *conv) { gnm_float a, d, e, sum,
den, basem1, exponent, first_term, last_term; gint
k, n; a = coupdaybs
(settlement, maturity, conv); d = coupdaysnc
(settlement, maturity, conv); e = coupdays
(settlement, maturity, conv); n = coupnum (settlement,
maturity, conv); sum = 0.0; den = 100.0 * rate /
conv->freq; basem1 = yield /
conv->freq; exponent = d / e; /* START OF PATCH */ if (n == 1) return ((100.0 +
den)/(1.0+exponent*basem1)-a/e*den); /* END OF PATCH */ /* FIXME: Eliminate loop. */ for (k = 0; k < n; k++)
sum += den / pow1p (basem1, exponent + k); first_term = redemption
/ pow1p (basem1, (n - 1.0 + d / e)); last_term = a / e * den; return (first_term + sum - last_term); } I hope this helps, and forgive me if I am wrong. - Philippe. |
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