Re: [Quantlib-users] Day Count Convention in Bond Coupon Calculation

[Mike D. <mik...@gm...>]

Hi there. Try using:

ql.ActualActual(ql.ActualActual.ISMA)

That should work for UST.

Best,
Mike


On Thu, Mar 25, 2021 at 20:42 jian Xu <jia...@gm...> wrote:

> Hi,
> In QuantLib, given a semi-annual FixedRateBond with 1% coupon, and
> Actual/Actual day count convention, the actual coupon payment amount
> varies.
>
> But my understanding is that the DCC only affects the accrual
> calculation, not the actual coupon payment amount.  Is this correct?
> A check on the Bloomberg terminal seems to confirm this, since any
> Act/Act bond also shows the coupon amount to be constant.
>
> So why is QuantLib different from Bloomberg?  Which one is correct in
> reality?  (US bond market).  Thank you very much.
>
> Following is a piece of code to produce the varying coupon in Python:
>
> import numpy as np
> import pandas as pd
> import QuantLib as ql
>
> acc_start = ql.Date(15, 2, 2020)
> maturity = ql.Date(15, 2, 2025)
> end_of_month = False
> calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
> period = ql.Period(ql.Semiannual)
> accrual_convention = ql.Unadjusted
> date_gen_rule = ql.DateGeneration.Backward
>
> schedule = ql.MakeSchedule(effectiveDate=acc_start,
>                           terminationDate=maturity,
>                           tenor=period,
>                           calendar=calendar,
>                           convention=accrual_convention,
>                           rule=date_gen_rule,
>                           endOfMonth=end_of_month)
>
> face = 100
> redemption = 100
> issue_date = ql.Date(16, 2, 2020)
> day_count = ql.ActualActual()
> coupon = 0.01
> days_settle = 2
> payment_convention = ql.ModifiedFollowing
>
> bond = ql.FixedRateBond(days_settle, face, schedule, [coupon],
> day_count, payment_convention, redemption, issue_date)
>
> Then [(cf.date(), cf.amount()) for cf in bond.cashflows()] shows the
> amount is not constant.
>
>
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