Posted by
Jeffrey-J.Yu on
URL: http://quantlib.414.s1.nabble.com/FixedCouponBond-pricing-wrong-tp3741p3742.html
The dated date is when the interest start accrued. In Ning's test code,
he is saying that the bond was traded before the issue date, so it can be
settled on the issue date (given the settlement convention he set is T+1.).
The cash flow is what determines the price/yield. I am afraid this is a kind
of special case, in which the accrued day is 0. Well, I suggest Ning pick a
different date in his test drive, at the same time we can think about how to
handle this.
When the trade date is prior to the issue date, the bond is quoted in yield,
instead of price. When it is settled, the price would then be derived from the yield.
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Friday, April 22, 2005 3:55 PM
To: Yu, Jeffrey-J
Cc:
[hidden email];
[hidden email]
Subject: Re: [Quantlib-users] FixedCouponBond pricing wrong?
On Apr 22, 2005, at 4:38 PM,
[hidden email] wrote:
> Ning,
>
> I think you present one extreme condition in the way you use
> FixedCouponBond:
>
> 1. the issue date is 11/1/04;
> 2. the settlement date is 11/1/04;
>
> In reality, I dont know if you can do this.
I don't know if you can in the real world, the calculation should work
correctly. At least it does on my machine with the latest code.
Luigi
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