Hello,
Can someone please confirm that this function expects a clean price for price ? I did my own testing and that seems to be the case but it is important that I check this point.
BR
Say the settlement date is 1/1/17 and the maturity is 1/1/18 Coupon rate = 10% paid quarterly FV = $100 PV on 1/1/17 is $100 YTM from the Yield function is 10% 1 month later, the bond’s price goes up (same cash flows, smaller discount factor for the next coupon). This is the dirty price. The YTM function would give a value different from 10% if you plug in this dirty price one month after settlement. When you plug in the dirty price net of accrued interest for the first month (i.e. clean price), you’d get 10% as the yield. So to conclude, yes I think the Yield function expects the clean price as the present price.
thanks