Re: Net yield (after taxes) of a Bond. How to differentiate on cashflow type?

Posted by Matteo Zandi on
URL: http://quantlib.414.s1.nabble.com/Re-Net-yield-after-taxes-of-a-Bond-How-to-differentiate-on-cashflow-type-tp433p437.html

On Tue, Jan 4, 2011 at 9:56 AM, Luigi Ballabio <[hidden email]> wrote:

No, if 96.39 is your clean price, then the 0.52 is already included.

Seeing it as payment on settlement date, I thought it was the dirty
price.

What do you get from Excel if you pay the clean price plus the accrual
on settlement and receive 1.5 on the first coupon?

Dates Payments

03/01/2011 -96,91 = -(96,39+0,52)

02/05/2011 1,5 

01/11/2011 1,5 

02/05/2012 1,5 

01/11/2012 1,5 

02/05/2013 1,5 

01/11/2013 1,5 

02/05/2014 1,5 

01/11/2014 1,5 

04/05/2015 1,5

01/11/2015 101,5

XIRR = 3,86%

QuantLib gives me 3,82% which is not that different than.

Sorry for the confusion about the example, I was meaning bonds.py under test which the only one I get from the Ubuntu package.

matteo@z2:~$ dpkg -L quantlib-python | grep bonds.py

/usr/share/doc/quantlib-python/examples/test/bonds.py.gz

Thanks again,

Matteo

------------------------------------------------------------------------------
Learn how Oracle Real Application Clusters (RAC) One Node allows customers
to consolidate database storage, standardize their database environment, and,
should the need arise, upgrade to a full multi-node Oracle RAC database
without downtime or disruption
http://p.sf.net/sfu/oracle-sfdevnl
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users