Function Settle Value within with keys returns the settlement value(s) of the referenced bond(s) at a given settlement date Tˢ as a function of the .
This is based on the actual bond's notional (not scaled to 100) N(Tˢ) that applies at Tˢ
Note, the future cash flows are not considered in this calculation. The settlement value V(Tˢ) is calculated by the formula:
V(Tˢ) = N(Tˢ)Pᵈ(Tˢ) / 100
Pᵈ(Tˢ) is the dirty price at Tˢ, as implied by the given clean price at Tˢ
If no clean price is supplied, the settlement date cannot be specified and is assumed to equal the bond's spot settlement date.
Then the dirty price - and thus the settlement value as well - is calculated by discounting all future cash flows.
The latter discounting requires the input of a discounting curve.
If the settlement date Tˢ 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 T₀ (typically today).