Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7327.html
On Fri, 2009-02-27 at 14:54 -0800, gigifaye29 wrote:
> Is the .npv() function in callablebond class inherited from the generic bond
> class, or it is overridden in the callablebond?
Technically, it's not; but NPV() delegates the calculation to the
pricing engine, so callable bonds are priced correctly if you set the
correct engine.
> 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.
If the call date equals the evaluation date, the engine might consider
it as expired. What happens if you try a bond that will be called one
day after the evaluation date?
Luigi
--
The box said "Use Windows 95 or better," so I got a Macintosh.
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