[Quantlib-users] Inconsistency in ZSpread calculation?

[jian Xu <jia...@gm...>]

Hi,
I encountered some inconsistency in ZSpread calculation.  Basically, I
calculate the zspread using the BondFunctions.zSpread.  But when I add
this zspread on top of the yield curve, I cannot recover the clean
price.  Following is what I did:

I used the official notebook example at:
http://gouthamanbalaraman.com/blog/bonds-with-spreads-quantlib-python.html,
everything the same up to the part which sets the bond_engine.

Then instead of using the engine, I used BondFunctions:
>>> settle_date = fixed_rate_bond.settlementDate(calc_date)
>>> ql.BondFunctions.cleanPrice(fixed_rate_bond, ts_yield, settle_date)

This returns the clean price of 114.09294985282332, which translates
to the same NPV =114.18461651948999 on the official site (by adding
the accrued interest).  So far so good.

Then I ask if the clean price is 101, what's the zspread:
>>> new_clean_price = 101
>>> zspread = ql.BondFunctions.zSpread(fixed_rate_bond, new_clean_price, ts_yield, day_count, ql.Compounded, fixed_rate_bond.frequency(), settle_date)
print(zspread)

This shows the zspread=0.02592546532075354.

Then I add this zspread on top of the original yield curve to obtain a
new yield curve.  My understanding is that by using this new yield
curve to price the bond, I should recover the new_clean_price.  But it
does not:

>>> spread1 = ql.SimpleQuote(zspread)
>>> spread_handle1 = ql.QuoteHandle(spread1)
>>> ts_spreaded1 = ql.ZeroSpreadedTermStructure(ts_handle, spread_handle1)
>>> ql.BondFunctions.cleanPrice(fixed_rate_bond, ts_spreaded1, settle_date)

This resulted clean price is 100.91139815763174, which is about 0.0886
different from the new_clean_price.  I tried to increase the
"accuracy" parameter in the ql.BondFunctions.zSpread, but doesn't seem
to help.

Does anyone know why?  Did I misunderstood ZSpread?  Or did I pass
wrong parameters in the zSpread function call?  Thanks.

Jian