Bond NPV vs dirty-price

[Simon Ibbotson - Straumur]

Currently the NPV for a bond (as returned from the DiscountingBondEngine) is actually the dirty price, paid on the settlement date. This seems to be a bug.

If the pricing engine returned both values (NPV and dirty-price) to the bond class, where the NPV includes coupon payments after today but before the settlement date, would anyone object?

 

Simon

 

Simon Ibbotson

Quantitative Analytics

Capital Markets

Straumur

 

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[Luigi Ballabio]

On Tue, 2008-04-08 at 11:14 +0000, Simon Ibbotson wrote:
> Currently the NPV for a bond (as returned from the
> DiscountingBondEngine) is actually the dirty price, paid on the
> settlement date. This seems to be a bug.
>
> If the pricing engine returned both values (NPV and dirty-price) to
> the bond class, where the NPV includes coupon payments after today but
> before the settlement date, would anyone object?

I wouldn't.  Object, I mean :)

Luigi


--

Glendower: I can call spirits from the vasty deep.
Hotspur: Why, so can I, or so can any man;
But will they come when you do call for them?
-- King Henry the Fourth Part I, Act III, Scene I



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[Ferdinando M. Ametrano-3]

On Tue, Apr 8, 2008 at 1:14 PM, Simon Ibbotson
<[hidden email]> wrote:
> Currently the NPV for a bond (as returned from the DiscountingBondEngine) is
> actually the dirty price, paid on the settlement date. This seems to be a
> bug.
>
> If the pricing engine returned both values (NPV and dirty-price) to the bond
> class, where the NPV includes coupon payments after today but before the
> settlement date, would anyone object?

I agree with your proposal

ciao -- Nando

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