Thanks, it was the accrued interest in combination with the day count convention that messed up my numbers. :)

Also, sorry that I didn't post any code but it's all on my work computer and I'm currently out of the office. I can post it tomorrow if that would help you help me.

Aha, so does this imply that all models need to evaluated using PDE methods before one finds more practical pricing methods?

Thanks for this. I should have specified that what I meant with RNP-framework is the fact that you can discount whatever payoff you are able to conjure up, at the risk free rate instead of some rate that takes into account the uncertainty of this payoff. So my question really is, what must be in place in order for it to be ok to do this.

Thank you very much for this! :) I much appreciate the additional information, and will check it out.