Posted by
Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Problem-within-the-Bond-YieldSolver-class-tp4278p4293.html
But,
Yesterday if we bought the BOND, we paid the Dirty Price and today we
recieve the coupon. Thus the PV over the two days is roughly the clean
price.
If we look at today and tomorrow...
If Today we are buying the BOND and we pay the dirtyprice. Who get's the
BOND coupon payment (remember that QL_TODAYS_COUPONS is defined so the
coupon is paid today also).
If the current BOND holder recieves the coupon then our outflow today is the
dirty price. Come tomorrow, no coupon inflow and thus the value is no-where
equal to the first scenario of yesterday and Today. Basically I would never
buy a BOND on a coupon payment, much cheaper to buy it a day before coupon
payment.
If however we recieve the coupon as well as paying out the dirtyprice
(today), this coupon payment has to go somewhere? It's not added to
tomorrow's PV as QL_TODAYS_COUPONS is defined as recieving this Today.
If this coupon payment is not included anywhere then again we have paid out
the dirty price.
Again, buy the BOND day before a coupon payment.
Unless you are saying that this coupon payment goes into a cash position
which is treated separately from the BOND.
Toy out.
>From: Luigi Ballabio <
[hidden email]>
>To: Toyin Akin <
[hidden email]>
>CC:
[hidden email]
>Subject: Re: [Quantlib-users] Re: accrualAmount() function within the bond
>class...
>Date: Fri, 09 Dec 2005 14:36:39 +0000
>
>
>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
>
>----------------------------------------
>
>I hate quotations.
>-- Ralph Waldo Emerson
>