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

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

Thanks a lot Francois. I set the day_count to the following..

day_count = ql.ActualActual(ql.ActualActual.Bond, schedule)

I then managed to match the cashflows.


Regards

Sumit


On Mon, 1 Mar 2021 at 11:52, Francois Botha <ig...@gm...> wrote:

> 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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>>
>

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Mosaic Smart Data

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su...@mo...
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