clean price or dirty price for interest rate models?

dkkchan · November 27th, 2003, 2:33 pm

HiIs someone has any experience on modelling interest rate? I am just wondering how one should model coupon bearing bonds. I have no problem understanding the coupons can be regards as series of zero coupons bonds. But, pricing such a way would give clean or dirty price, if so , how would a dirty/clean strike fitted in? Is there any real example?thx a ton

gc · November 27th, 2003, 2:39 pm

Hi, there was a thread some time ago dealing with similar issues....You may want to have a look to:Bond optionsgc

dkkchan · November 27th, 2003, 4:03 pm

mahlerian · November 27th, 2003, 4:26 pm

QuoteOriginally posted by: dkkchanthxThere was also a note by Graeme on this.