The issue date won't enter the pricing. The pricing engine takes into
account the reference date of the discount curve. If it's set to
today's date, the coupons will be discounted to today's date. If you
want them to be discounted to the issue date, you can either:
- assuming you built the bond with just the coupons you need (i.e.,
you didn't include the fixed coupons) you can get the price from the
bond and divide it by the discount factor from today to the issue date
(that you can retrieve easily from the discount curve); or
- use as discount curve an instance of the ImpliedTermStructure class,
which performs the adjustment for you automatically.
Luigi
On Fri, Oct 11, 2013 at 5:40 PM, Lisa Ann <
[hidden email]> wrote:
> Dear imachabeli and Dale Smith,
>
> I tried to produce a suitable example to make you to figure out what such a
> situation (i.e. one in which a "forward" price is required) would be... and
> I've found the following simple case.
>
> Let you have a Fixed-To-Floater bond whose coupon is currently fixed but
> that will pay a floating rate starting on October 2014.
>
> Let someone asks you for the price *of the floating part only*: this is
> quite easy, due to the fact that the floating component is just a plain
> vanilla FRN and you can use QuantLib to get its clean price with little
> effort.
>
> The only issue could be in the discounting: if the floating rate part is
> tradable just from 10th of October 2014, this means that the first floating
> coupon is discounted by the corresponding zero rate from the yield curve.
>
> My question: if I set IssueDate = 10-Oct-2014, does the pricing engine takes
> the corresponding 1Y discount factor from the yield curve to discount the
> whole price of the bond?
>
> Does the engine return me the discounted clean price assuming the first
> coupon to start the accrued interest from 10-Oct-2014 *and not from today
> date*?
>
> After several trials it seems to me that the clean price obatined in such a
> way should be further discounted to get its present value.
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Of-pricing-bonds-whose-IssueDate-is-in-the-future-is-BondCleanPrice-already-discounted-tp14571p14580.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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