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

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Problem-within-the-Bond-YieldSolver-class-tp4278p4295.html

>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.

Above you write "equal's to the clean Price if QL_TODAYS_COUPON is defined".

But that's not what the PV equal's when you execute the dirtyPrice()
function as it is today.
The dirtyPrice does not deduct the coupon that is to be recieved.

Okay, so maybe it's a question of timing, the coupon is received tonight so
it's in tomorrow's cashflow etc...

I can't think of an expression to beat your "laters..." remark (!!)

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 15:20:59 +0000
>
>
>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
>
>
>----------------------------------------
>
>Call on God, but row away from the rocks.
>-- Indian proverb
>