Fix BondForward::spotIncome ex-coupon entitlement at both boundaries#2651
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jmboyd1 wants to merge 1 commit into
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Fix BondForward::spotIncome ex-coupon entitlement at both boundaries#2651jmboyd1 wants to merge 1 commit into
jmboyd1 wants to merge 1 commit into
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spotIncome filtered income coupons with hasOccurred only. When bonds carry an ex-coupon period this misattributes entitlement in two ways: - a coupon trading ex at spot settlement was counted as income although the buyer never receives it (overstating carry and distorting implied repo rates); - a coupon whose ex date has been reached by the delivery date was omitted although the holder receives it after delivery. Both boundaries now consult CashFlow::tradingExCoupon, consistent with the treatment everywhere else in CashFlows. The dirty spot value and the negative accrued used by cleanForwardPrice were already ex-correct.
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Thanks for opening this pull request! It might take a while before we look at it, so don't worry if there seems to be no feedback. We'll get to it. |
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Thanks for contributing! May you check the CLAassistant comment above? |
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coverage: 74.885%. remained the same — jmboyd1:fix-bondforward-spotincome-excoupon into lballabio:master |
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BondForward::spotIncomefiltered income coupons withhasOccurredonly. When the underlying bond carries an ex-coupon period (e.g. Australian ACGBs with their 7-day ex-interest window) this misattributes entitlement at both boundaries:Both boundaries now consult
CashFlow::tradingExCoupon, consistent with the treatment everywhere else inCashFlows. The dirty spot value and the negative accrued used bycleanForwardPricewere already ex-correct, so this only changes the income leg.The full test suite passes unchanged. Found while validating ACGB forward pricing (negative accrual through the ex window) against exchange settlement prices; happy to add a test-suite case with an ex-coupon bond forward if that would help review.