full price(dirty price) vs clean price
Posted by gigifaye29 on
URL: http://quantlib.414.s1.nabble.com/full-price-dirty-price-vs-clean-price-tp6217.html
Hello,
Can I verify the "price" as a parameter that feeds to various functions in Quantlib?
One of them is the cashflows::irr(const Leg &leg, Real marketPrice, ...)
Does the marktPrice here mean the clean price?
If it's a clean price, would the irr result be huge in a case that, say, I have a semi-annually paid bond maturing in 10 days, with cash flow say 100+5 at that time(this would be the 'leg' in the irr function I assume) and the quoted price(market price) is 99.98(not including the acrrued) for instance ? (seems to me it's searching for root so that the npv(cashflow) would be equal to the price 99.98)
Also another one -similar kind of confusion :
FixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays,...)
It explicitly says 'cleanprice' here. What if I push a bond in the example above as a rate helper to instruments that feeds the termstructure template, would that result in a weird yield?
Appreciate if you can shed lights on my concerns...
Thanks,
Xin