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

[Francois B. <ig...@gm...>]

Hi Sumit,

I'm not very familiar with all the details of other countries' treasury
bonds, but are you sure that the first coupon is only a partial coupon
payment instead of the full 0.8125 ?

If I enter a bond issue date of e.g. 2020-06-15 in my Schedule constructor,
then all the bond coupons are 0.8125 and I get an accrued interest amount
on settlement date 2021-02-23 of 0.3125. However, I also get a yield of
0.17% at settlement date as you did originally.

One more thing... as I say I'm not familiar with your bonds, but South
African government bonds use a business day convention of FOLLOWING, not
MODFOL. In your example, it wouldn't make a difference though.

Hope this helps.

regards,
Francois Botha


On Mon, 1 Mar 2021 at 13:27, Sumit Sengupta <su...@mo...>
wrote:

> 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
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