What is the meaning of FLOATBYZERO's output argument PriceNoAI, in Financial Instruments Toolbox 1.0 (R2012b)?
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MathWorks Support Team
le 25 Oct 2013
Réponse apportée : MathWorks Support Team
le 25 Oct 2013
In the documentation of FLOATBYZERO the definition of the output argument PriceNoAI is the following:
" PriceNoAI:
NINST-by-NUMCURVES matrix of dirty bond price (clean + accrued interest). Each column arises from one of the zero curves. "
The argument is PriceNoAI, which I translate as price with no accrued interest, but its definition is 'clean + accrued interest'.
Which one is the correct one?
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MathWorks Support Team
le 25 Oct 2013
The documentation's description of "PriceNoAI" is correct. It is indeed the dirty bond price (clean price + accrued interest). The name "PriceNoAI" may be misleading, but it was originated from "removing the negative accrued interest" which is the same as adding the accrued interest.
Therefore,
- Price is the clean price and,
- PriceNoAI is the dirty price.
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