Re: Coupons and Fixed Rate Legs, Take Two...

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1193.html

On Tue, 2007-07-24 at 15:21 +0000, John Maiden wrote:
> I can buy
> a bond on any day, which means that the loss of coupon for the person who sold
> it to me has been been considered in the sale. The true value of the next coupon
> will have already been adjusted so that I will only really receive accrued
> between today and the next coupon dates, rather than the full amounts between
> coupon dates.

This is already taken into account by the cleanPrice() method.

Later,
        Luigi


--

Age is an issue of mind over matter. If you don't mind, it doesn't
matter.
-- Mark Twain



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