Re: Fixed-rate bond pricing can yield different results compared to Excel's built-in functions

Posted by Gavin08 on Oct 29, 2011; 5:39pm
URL: http://quantlib.414.s1.nabble.com/Fixed-rate-bond-pricing-can-yield-different-results-compared-to-Excel-s-built-in-functions-tp6340p6345.html

StephenWong wrote

Why are you comparing clean price with dirty price? qlBondCleanPriceFromYield calculates the price without  accrued interests while PRICE from Excel includes that interests. No?

Not true, PRICE excludes accrued interests too. In most of these examples, the accrued interests are about 1 or 2 percentage points, i.e. the dirty prices are about 101 or 102.