Fwd Clean Price

Function Fwd Clean Price within
Bond with keys Bond Fwd Clean Price keys returns the forward clean price(s) of the referenced bond(s) at a given future horizon date for a given clean price (or prices) recorded as of some earlier settlement date and a given repo rate (or rates) r applying for the time period from to
By default, is the bond's settlement date, but this function allows it to be any future date, as long as Tˢ < Tʰ

If the settlement date is not explicitly given, it will be set to the bond's settlement date as implied by a trade transaction assumed to occur on the
trade date T₀ (typically today).

The forward price is calculated according to the Bloomberg methodology, as follows:

Download the workbook
bond-carryroll.xlsx that demonstrates the method described here.

Step 1: The initial settlement invoice amount is calculated as of from the given clean price Pᶜ using the function
Settle Value

Step 2: The corresponding terminal invoice amount is calculated as Sʰ = Sˢ(1+rΔ) - CPN, where Δ = Tʰ - Tˢ in annual units according to the daycount convention of the repo rate r and CPN is the cummulative value (as of ) of any coupons paid between and as described by the entry
Coupon Interest

Step 3: The corresponding dirty price Pᵈ at horizon is given by the expression Pᵈ = Sʰ100/N, where N is the notional as of

Step 4: The final clean price is given by the expression Pᵈ - I100/N, where I is the interest amount that has been accrued until during the coupon accrual period containing