Re: FixedCouponBond pricing wrong?

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/FixedCouponBond-pricing-wrong-tp3741p3743.html

On Apr 22, 2005, at 10:06 PM, [hidden email] wrote:

> 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.).
>
> I am afraid this is a kind of special case, in which the accrued day
> is 0.

I agree. But this special case is exactly what you need for reproducing
Ning's back-of-the-envelope calculation. And indeed, the result is
consistent with the formula.

Later,
        Luigi