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Use dirty price in CallableBond effective duration and convexity - #2671
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coverage: 74.983% (+0.03%) from 74.954% — AIM-IT4:fix-callable-effective-duration into lballabio:master |
| BOOST_CHECK_GT(effDur, 0.0); | ||
| BOOST_CHECK_LT(effDur, 15.0); | ||
| BOOST_CHECK_NE(effConv, 0.0); |
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These checks pass even without your change to the calculations, so they don't really test it.
I would use as a test the example in the original issue instead.
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Thanks @lballabio! I've updated the test case in test-suite/callablebonds.cpp to use the parameters from issue #1882 evaluated on 2023-11-30. Because this date has non-zero accrued interest (~2.42), using the clean price in the denominator yields ~4.4171 whereas dirty price yields ~4.3836. The test now explicitly asserts that the calculated duration matches the dirty price formula and differs from the clean price formula.
lballabio
changed the title
CallableBond effective duration and convexity
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Addresses issue #1882 by using the dirty price (adding accrued interest) in the denominator of effective duration and effective convexity calculations for CallableBond.