Re: [Quantlib-dev] I think I have a need for another pricing engine for the bond instrument

[Ferdinando A. <na...@am...>]

On Tue, Mar 2, 2010 at 9:21 PM, Nathan Abbott <nka...@gm...> wrote:
> the user wants the NPV of the bond to be the amount
> purchased * clean price  / 100.

and you know what... he's simply right

The current engine does calculate the dirty price
(results_.settlementValue) and some "npv" (results_.value) of
questionable usefulness. My reservation about the current npv are:
1) it does include cashflows before or on bond settlement date, which
in most situation do not belong to the npv
2) is valid for an holding amount of faceAmount (typically 100)

> I am thinking the best way to solve this
> problem is to create another pricing engine for the bond that calculates the
> NPV of the bond to equal the amount purchased * the clean price / 100.

the real issue in not the engine, but the current lack for the
"holding amount" piece of info
I would put it in the Bond class since it inherits from Instrument and
so it should be homogeneous to other Instruments in portfolio
evaluation.

Luigi?

ciao -- Nando