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

[jian Xu <jia...@gm...>]

Oh, that works!  Thanks a lot!

On Thu, Mar 25, 2021 at 9:06 PM Mike DelMedico <mik...@gm...> wrote:
>
> 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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