Clean Price
Function Clean Price within Bond with keys Bond Clean Price keysreturns the clean price of the referenced bond at a given settlement date Tˢ of an assumed bond trade transaction.
Several values may be also returned here in the form of a 1D-array
There exist 4 distinct methods for obtaining the clean price:
1) From a given dirty price Pᵈ as of the date Tˢ
2) From a given flat yield as of the date Tˢ that acts as the discount zero rate for all cash flows.
3) From a given discounting yield curve that implies the discount factors to be used for discounting the various cash flows.
4) From a given discounting (treasury or swap rate) yield curve plus a Z-spread over that curve that combined imply the discount factors to be used for discounting the various cash flows.
The last two cases take no input for Tˢ, which is regarded equal to the bond's settlement date (see below) and work as follows:
All bonds cash flows occurring after Tˢ are discounted down to today and then their sum is then divided by the discount factor between today and the settlement date.
In all other cases, if Tˢ is not explicitly given, it will be set to the bond settlement date as implied by a trade transaction assumed to occur on the valuation date T₀ (typically today).