Posted by
Smith, Dale (Norcross) on
Oct 11, 2013; 1:39pm
URL: http://quantlib.414.s1.nabble.com/Of-pricing-bonds-whose-IssueDate-is-in-the-future-is-BondCleanPrice-already-discounted-tp14571p14578.html
There are bonds that trade when-issued, but the actual trade date is not one year in advance. Perhaps you are talking about when-issued? If so, there's no counterparty risk.
Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Financial & Risk Management Solutions
Fiserv
Office: 678-375-5315
www.fiserv.com
-----Original Message-----
From: imachabeli [mailto:
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Sent: Friday, October 11, 2013 9:23 AM
To:
[hidden email]
Subject: Re: [Quantlib-users] Of pricing bonds whose IssueDate is in the future: is BondCleanPrice already discounted?
In real life there is no such a contract where you pay for a bond now and get it delivered an year from now. One would take gigantic counterparty risk.
What you are describing looks more like forward contract on a bond. In that case you will pay for that bond an year from now and forward rate will be function of yield curve. If it is upward sloping yield curve than forward yield will be higher that today i.e price lower than today.
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