Re: QuantLib::Bond::cleanPriceFromZSpread

Posted by gigifaye29 on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7326.html

Is the .npv() function in callablebond class inherited from the generic bond class, or it is overridden in the callablebond?

If it is latter than I should expect it is the npv of adjusted cash flows.  Seems to me the npv calculation is sensitive the tree volatility assumption, but when I try a bond that will be called on the evaluation date the npv is not capped to the strike price.

Appreciate if you can also shed some light on this,
Xinc

Luigi Ballabio wrote

On Tue, 2009-02-24 at 13:49 -0800, gigifaye29 wrote:
> In the CallableBonds Class,  does the member function
> "cleanPriceFromZSpread(...)"  calculate a clean price by discounting the
> *unadjusted* cash flows, OR  *adjusted* cash flows(prices on each note
> revised to strike if option in the money),  by interest tree note rates plus
> z-spread?

Unadjusted. The method is inherited from the generic Bond class and does
not take callability into account.

Luigi


--

Testing can never demonstrate the absence of errors in software, only
their presence.
-- W.E. Dijkstra



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