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FixedRateBondForward, accrued missing at value date ?

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pascal roca

FixedRateBondForward, accrued missing at value date ?

Hi,

Looking at the class FixedRateBondForward

Real FixedRateBondForward::cleanForwardPrice() const {

return forwardValue() -

fixedCouponBond_->accruedAmount(maturityDate_);

}

we are calculating the clean forward Price using the forwardValue() method from the forward class

(underlyingSpotValue_ - underlyingIncome_ )/

discountCurve_->discount(maturityDate_);

should we have for a bond ?

(P(spot) + Accrued(spot) - income) /discount(MaturityDate)

Cheers Pascal

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pascal roca

Re: FixedRateBondForward, accrued missing at value date ?

Sorry , i didn't notice that the spotvalue is setup as the dirty price

thanks

Pascal

From: [hidden email]
To: [hidden email]
Date: Tue, 9 Dec 2014 20:36:48 +0000
Subject: [Quantlib-users] FixedRateBondForward, accrued missing at value date ?

Hi,

Looking at the class FixedRateBondForward

Real FixedRateBondForward::cleanForwardPrice() const {

return forwardValue() -

fixedCouponBond_->accruedAmount(maturityDate_);

}

we are calculating the clean forward Price using the forwardValue() method from the forward class

(underlyingSpotValue_ - underlyingIncome_ )/

discountCurve_->discount(maturityDate_);

should we have for a bond ?

(P(spot) + Accrued(spot) - income) /discount(MaturityDate)

Cheers Pascal

------------------------------------------------------------------------------ Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server from Actuate! Instantly Supercharge Your Business Reports and Dashboards with Interactivity, Sharing, Native Excel Exports, App Integration & more Get technology previously reserved for billion-dollar corporations, FREE http://pubads.g.doubleclick.net/gampad/clk?id=164703151&iu=/4140/ostg.clktrk
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