Price Function Error?

M

Mike

I've been using the price function to check some work I've been doing.
I'm able to replicate the Excel values for A/A, A/365 and A/360 day
count options to a large number of decimal places for all days during
the life of a bond EXCEPT between the penultimate and the last coupon
of a bond when the price function appears to drop almost twice as much
as I think it should. I can see no reason why it should and I like my
answers better!!

I can't find out if this is an error that has been discovered before or
if I've missed something.

Look forward to seeing if someone else has had this problem.

Thanks

Mike
 

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