Re: [Quantlib-users] Unable to match yield to Reuters/Bloomberg

[Sumit S. <su...@mo...>]

Just a follow up. I made this change to the day_count which seems to have
resolved the cashflows.
*day_count = ql.ActualActual(ql.ActualActual.Bond,schedule)*

However, the accrued amount looks incorrect.
fixedRateBond.accruedAmount() gives me a value of 0.004 which is far too
small. It should be in the region of around 0.31

Any help would be appreciated..

Thanks,
Sumit

On Mon, 1 Mar 2021 at 11:08, Sumit Sengupta <su...@mo...>
wrote:

> Hi,
>
>  I have the following code to calculate the yield of a Treasury bond.
>
>  The issue I have is the code gives a yield of 0.17% - which is much
> higher than the expected 0.13%
>
> Looking at the cashflows, it gives me the below....
> Date Amount Expected
> Date(15,6,2021) 0.5031
> Date(15,12,2021) 0.8147 0.8125
> Date(15,6,2022) 0.8103 0.8125
> Date(15,12,2022) 0.8147 0.8125
> Date(15,12,2022) 100
> Any thoughts?
>
> Thanks,
> Sumit
>
> calc_date = ql.Date(22,2,2021)
> ql.Settings.instance().evaluationDate = calc_date
> day_count = ql.ActualActual()
> calendar = ql.UnitedStates()
> bussiness_convention = ql.ModifiedFollowing
> end_of_month = True
> settlement_days = 1
> face_amount = 100
> coupon_frequency = ql.Period(ql.Semiannual)
>
> price = 102.625
> coupon = 1.625/100
> maturity_date = ql.Date(15, 12, 2022)
> # issue_date = ql.Date(1, 2, 2021)
> coupon_frequency = ql.Period(6, ql.Months)
>
> schedule = ql.Schedule(calc_date,
>                    maturity_date,
>                    coupon_frequency,
>                    calendar,
>                    bussiness_convention,
>                    bussiness_convention,
>                    ql.DateGeneration.Backward,
>                    end_of_month)
> fixedRateBond = ql.FixedRateBond(
>     settlement_days,
>     face_amount,
>     schedule,
>     [coupon],
>     ql.ActualActual()
> )
> yld = fixedRateBond.bondYield(price, ql.ActualActual(),ql.Compounded,
> ql.Semiannual)
> yld * 100
> [x.amount()for x in fixedRateBond.cashflows()]
>
>
>
> --
> Mosaic Smart Data
>
> mobile +44 (0)7961839363
> su...@mo...
> 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> www.mosaicsmartdata.com
>


-- 
Mosaic Smart Data

mobile +44 (0)7961839363
su...@mo...
25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
www.mosaicsmartdata.com