rateslib icon indicating copy to clipboard operation
rateslib copied to clipboard

BUG: FRN `ytm` requires accrued for dirty prices

Open attack68 opened this issue 11 months ago • 0 comments

curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.8}, convention="act365f")
frn = FloatRateNote(dt(2000, 1, 1), "5y", "Q", float_spread=200)
frn.ytm(price=100, settlement=dt(2000, 1, 3), curve=curve)
# FAILS

frn.ytm(price=100, settlement=dt(2000, 1, 3), curve=curve, dirty=True)
# WORKS

attack68 avatar Jan 29 '25 22:01 attack68