Valuing fixed rate bond: dirty price vs clean price issues
Posted by
igitur on
May 05, 2014; 10:08am
URL: http://quantlib.414.s1.nabble.com/Valuing-fixed-rate-bond-dirty-price-vs-clean-price-issues-tp15229.html
Hi,
I'm trying to reconcile quantlib's fixed bond values with our own internal models (some in-house developed Excel addins). For the quantlib part, I'm actually using QLNet and I write my code in C#.
From the code below, I could see that the first coupon in the cashflows leg is not the full 3.5, and this is the reason of most of the difference I'm experiencing. Our internal models assums that all the cashflows are the full 3.5. I suspect this is a clean price vs dirty price issue, but my code gives the same answer for dirtyPrice() and cleanPrice(). The yield curve is read in from a CSV file.
How can I force the cashflows to have the full coupons for all the dates?
thanks
Francois Botha
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