Re: Re: accrualAmount() function within the bond class...

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Problem-within-the-Bond-YieldSolver-class-tp4278p4292.html

On 12/09/2005 03:23:35 PM, Toyin Akin wrote:
>
> (Assuming that we are paying to the bond holder the full price  
> Clean+Accured. He can't keep the coupon payment he's about to recieve  
> because we have paid him it in the full price, thus he gives it to us)
>
> Thus total cashflow is Clean+Accured - Accured = Clean.
>
> If we are to PAY this dirtyprice than we have to recieve the coupon.

So far, so good...

> Thus ending up with the CleanPrice again, implying that the
> accured amount is zero.

No, I don't see the implication.

Anyway, the situation on a payment date when QL_TODAYS_COUPONS is  
defined is basically the same as the situation one day before the  
payment date: the coupon amount is included in the dirty price and the  
accrued amount is (almost) the amount of the coupon. If yesterday's  
situation makes sense to you, I don't see why today's situation  
doesn't, given that the coupon still wasn't paid.

Later,
        Luigi

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