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-tp4278p4294.html

On 12/09/2005 04:09:50 PM, Toyin Akin wrote:
>
> 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 the coupon is still included in the bond (QL_TODAYS_COUPON is
defined) we pay the dirty price and tonight we'll receive the
coupon. The PV is the clean price.


> 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).

We do. You can think of the switch this way:

- QL_TODAY_COUPONS is not defined => coupons are paid first thing in
   the morning;
- QL_TODAY_COUPONS is defined => coupons are paid last thing in the
   afternoon.

If we buy the bond now, we'll be the holders this evening when the  
coupon is paid, so we'll receive the payment.


> If however we recieve the coupon as well as paying out the dirtyprice  
> (today), this coupon payment has to go somewhere?

It's both in today's dirty price and in today's accrued amount, just as  
it was in yesterday's dirty price and accrued amount.


Later (no pun intended,)
        Luigi


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