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Clean or Dirty Prices

#1   Susan Love

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Posted 21 September 2006 - 09:05 AM

Are all of the prices that we are getting back from our Savvysoft models clean or dirty?
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#2   Rich

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Posted 21 September 2006 - 09:24 AM

Susan Love, on Sep 21 2006, 10:05 AM, said:

Are all of the prices that we are getting back from our Savvysoft models clean or dirty?


They are all clean. For bonds which set their coupons in arrears, TOPS calculates the expected coupon based on current market rates, and subtracts out the accrued interest implied by this. The accrued interest may be calculated separately to see what amount was used, and added back into the clean price to turn it into a dirty price if desired.
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