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Bootstrapping yield curve using dirtyPrice instead of cleanPrice

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igitur

Bootstrapping yield curve using dirtyPrice instead of cleanPrice

Hi,

I'm still trying to replicate our internal bootstrapping process and I've made much progress. I think my last issue is the use of clean price vs dirty price in the process. Our process uses the dirty price and I see in BondHelper::impliedQuote() that the clean price is used. To be honest, I'm not clued up with the underlying theory enough yet to know when one would use the clean or dirty price for bootstrapping. Anyway, besides forking the code and changing the function, is there a way to construct my curve by using dirty bond prices?

thanks

Francois Botha

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Luigi Ballabio

Re: Bootstrapping yield curve using dirtyPrice instead of cleanPrice

There's no way at this time. If you fork it, I suggest that you add a
flag to the helper for choosing clean or dirty price, instead of just
replacing the calculation. This way, you can contribute the change and
I can accept it :)

Later,
Luigi

P.S. Anyway, bootstrapping over clean or dirty prices shouldn't make
any difference (meaning that if you bootstrap over clean prices with
the current implementation, or over dirty prices with a modified
implementation, you should get the exact same curve). The difference
between the two prices (that is, the accrued amount) doesn't depend on
the curve being bootstrapped.

On Thu, May 8, 2014 at 12:08 PM, Francois Botha <[hidden email]> wrote:

> Hi,
>
> I'm still trying to replicate our internal bootstrapping process and I've
> made much progress. I think my last issue is the use of clean price vs dirty
> price in the process. Our process uses the dirty price and I see in
> BondHelper::impliedQuote() that the clean price is used. To be honest, I'm
> not clued up with the underlying theory enough yet to know when one would
> use the clean or dirty price for bootstrapping. Anyway, besides forking the
> code and changing the function, is there a way to construct my curve by
> using dirty bond prices?
>
> thanks
> Francois Botha

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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 Requirements for releasing software faster
 Expert tips and advice for migrating your SCM now
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_______________________________________________
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igitur

Re: Bootstrapping yield curve using dirtyPrice instead of cleanPrice

Ok, I haven't set up a development environment for QuantLib itself, because I'm working with QLNet. But I'm willing to contribute, so I'll try this as my first contribution.

Francois Botha

On 8 May 2014 12:26, Luigi Ballabio <[hidden email]> wrote:

There's no way at this time. If you fork it, I suggest that you add a
flag to the helper for choosing clean or dirty price, instead of just
replacing the calculation. This way, you can contribute the change and
I can accept it :)

Later,
Luigi

P.S. Anyway, bootstrapping over clean or dirty prices shouldn't make
any difference (meaning that if you bootstrap over clean prices with
the current implementation, or over dirty prices with a modified
implementation, you should get the exact same curve). The difference
between the two prices (that is, the accrued amount) doesn't depend on
the curve being bootstrapped.

On Thu, May 8, 2014 at 12:08 PM, Francois Botha <[hidden email]> wrote:
> Hi,
>
> I'm still trying to replicate our internal bootstrapping process and I've
> made much progress. I think my last issue is the use of clean price vs dirty
> price in the process. Our process uses the dirty price and I see in
> BondHelper::impliedQuote() that the clean price is used. To be honest, I'm
> not clued up with the underlying theory enough yet to know when one would
> use the clean or dirty price for bootstrapping. Anyway, besides forking the
> code and changing the function, is there a way to construct my curve by
> using dirty bond prices?
>
> thanks
> Francois Botha

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>