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Rounding Conventions

Although the rounding precision might differ across markets, the rounding procedure is consistent for all bonds. When bonds are quoted on a yield basis, the function will compute an unrounded clean price, and the rounded outputs are generated as follows:

CP (Rounded) = Round(DP (Unrounded) AI (Unrounded), DP)

AI (Rounded) = AI (Unrounded)

DP (Rounded) = CP(Rounded) + AI (Rounded)

Where CP is clean price, DP is dirty price, AI is accrued interest, and Round(Input, DP) is a function that rounds the input number to the required number of decimal places (DP). If the number of decimal places is not specified, the default is 12dp.

 

When bonds are quoted on a clean price basis, the user already supplies a rounded clean price, and the remaining outputs are rounded as follows:

AI (Rounded) = AI (Unrounded)

DP (Rounded) = CP(Rounded) + AI (Rounded)

Yield(Rounded) =Round(Yield (Unrounded), DP)

 

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