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Indeed, the theoretical price for my coupon-bearing bonds takes every cash flow (coupons and face value), and discounts it with the respective maturity of that specific cash flow. Defaulting isn't really an issue here, as I use Treasury bonds, and (still) assume them to be risk-free.The results are not good in that the theoretical prices deviate too much from the market prices to be useful. I have errors of 20 (on a price of around 100). I don't know if it was clear from my first post, but it are the price errors I am trying to minimize, not the yields as in the original code.If you've got the time, I can send you my adapted code.
Indeed, the theoretical price for my coupon-bearing bonds takes every cash flow (coupons and face value), and discounts it with the respective maturity of that specific cash flow. Defaulting isn't really an issue here, as I use Treasury bonds, and (still) assume them to be risk-free.
The results are not good in that the theoretical prices deviate too much from the market prices to be useful. I have errors of 20 (on a price of around 100). I don't know if it was clear from my first post, but it are the price errors I am trying to minimize, not the yields as in the original code.
If you've got the time, I can send you my adapted code.
