[Quantlib-dev] Bond NPV vs dirty-price

[Simon I. <Sim...@st...>]

Currently the NPV for a bond (as returned from the
DiscountingBondEngine) is actually the dirty price, paid on the
settlement date. This seems to be a bug.

If the pricing engine returned both values (NPV and dirty-price) to the
bond class, where the NPV includes coupon payments after today but
before the settlement date, would anyone object?

 

Simon

 

Simon Ibbotson

Quantitative Analytics

Capital Markets

Straumur