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FittedBondCurve: Clean price or dirty price

Open sagayev opened this issue 2 years ago • 0 comments

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]}) 

sagayev avatar Jan 21 '23 20:01 sagayev