Clean Price


Function Clean Price within
Bond with keys Bond Clean Price keys returns the clean price of the referenced bond(s) at a given settlement date of an assumed bond trade transaction.

There exist 4 distinct methods for obtaining the clean price:
1) From a given
dirty price Pᵈ as of the date
2) From a given flat yield as of the date 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 , which is regarded equal to the bond's settlement date (see below) and work as follows:
All bonds cash flows occurring after 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 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).