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FittedBondCurve: Clean price or dirty price
Hello David, Thank you very much for preparing such documentation. Could you please, explain whether the price input should be clean or dirty prices in the following example?
pgbs = pd.DataFrame(
{'maturity': ['15-06-2020', '15-04-2021', '17-10-2022', '25-10-2023',
'15-02-2024', '15-10-2025', '21-07-2026', '14-04-2027',
'17-10-2028', '15-06-2029', '15-02-2030', '18-04-2034',
'15-04-2037', '15-02-2045'],
'coupon': [4.8, 3.85, 2.2, 4.95, 5.65, 2.875, 2.875, 4.125,
2.125, 1.95, 3.875, 2.25, 4.1, 4.1],
'px': [102.532, 105.839, 107.247, 119.824, 124.005, 116.215, 117.708,
128.027, 115.301, 114.261, 133.621, 119.879, 149.427, 159.177]})