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

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

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()]



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