Bootstrapping yield curve using dirtyPrice instead of cleanPrice

Posted by igitur on May 08, 2014; 10:08am
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-yield-curve-using-dirtyPrice-instead-of-cleanPrice-tp15251.html

Hi,

I'm still trying to replicate our internal bootstrapping process and I've made much progress. I think my last issue is the use of clean price vs dirty price in the process. Our process uses the dirty price and I see in BondHelper::impliedQuote() that the clean price is used. To be honest, I'm not clued up with the underlying theory enough yet to know when one would use the clean or dirty price for bootstrapping. Anyway, besides forking the code and changing the function, is there a way to construct my curve by using dirty bond prices?

thanks

Francois Botha

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