<r>Apparently there is more to it. These bonds also have an intermediate rounding step of the period and the final rounding to calculate the accrued on a per bond basis. Moreover, the calculations do not seem to work out when bonds have a long first coupon.Does anyone actually have this reference gu...

<t>Does anyone know how to calculate accrued interest for Australian and New Zealand governement bonds. Apparently they have some kind of ex-dividend rules, and I am not sure what they are for. Also, Bloomberg does something really weird: if you pick an Australian bond and start calculating accrued ...

<t>QuoteI think QuantLib implements most of the common trading calendars (and possibly the routine you are searching for).This is wonderful! Thanks!QuoteCoupons have rules about how business days are handled since (year convention)/2 is quite likely to be a weekend or holiday. Do you know if Bloombe...

The matrix size will be from 5x5 to 9x9. The smallest (absolute) element is going to be roughtly 1.0e-7.QuoteFrom memory, the pivoting does not change the complexity of the algorithmThis is a very interesting comment, but it's not very intuitive. Is this really the case?

<t>Has anyone come accross a routine in C++ that would create an array of coupon payment dates based on the next coupon date, maturity date, and frequency. Something more robust than a naive approach of assuming that there are 365/Frequency days between coupon payments.For instance if the next coupo...

<t>Your example is indeed a problematic one, since I would have to divide 1 by 1.0e-20 in the first operation.But what if all of my matrices where symmetrical and constructed in such a way that element at a(1, 1) is actually the largest one and:1) a(1,1) > a(2,2) > a(3,3) ....and 2) a(1, 1) > a(2, 1...

<t>Here and there I have been reading that row interchanges make LU decomposition more stable, but I haven't been able to find an explanation why it's really necessary.Are there any circumstances where row interchages is a waste of processing time and what are the cases when it's absolutely essentia...

Quoteit looks like the denominators in the first column are equal to C(2n+1, n+1) Sorry I am not familiar with this notation: C( x, x). What does this mean?

<t>Here is a little puzzle for you: I need to figure out what the pattern is here to be able to extend this matrix further and be able to populate it pragrammatically through some kind of a loop: 1 -2 / 3 ______ 1 3 / 10 ______ -6 / 5 _____ 1-4 / 35 ______ 6 / 7 _______ -12 / 7 _______ 1 5 / 126____...

Thanks to all of you for your helpful comments!

a's are not always positive

<t>y is a constant.The Newton-Raphson method is simply an iteration technique. Since I have to solve about 10,000 of these equations every time, I was hoping for a more computationally efficient solution.The powers t1, t2, and t3 are actually equally spaced, so by using some data transformation I ca...

Hi:Could you please push me in the right direction for a computationally efficient technique (preferably other than iteration) to solve this type of equation:a1 * x ^ t1 + a2 * x ^ t2 + a3 * x ^ t3 = y, wheret1, t2, t3 are non-integers greater or equal to 0.Thanks

<t>Thanks for your comments.What I am trying to do is to solve the following system (determine vector z):(HT x W x H) x z = (HT x W x P), where P is a n x 1 vector, H is an n x k orthonormal matrix, and W is a n x n diagonal matrix with non-zero elements on the diagonal.the number of rows in H is ab...

<t>Thank you for your reply:The problem here is that H is not a square matrix (say it's n rows x k columns), and W is a square matrix (n x n).So the suggested H x InvW x HT is not a valid multiplication.Also, is the rule Inv(AB) = Inv(A) x Inv(B) general?I tried it on a simple example:A= [{1, 2}, {3...