[Quantlib-users] Unable to match the yield to market

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

Hi all,

  I have the following script that I am using to match the Treasury
2yr contract yield.

   The yield is close to 0.17%. I am getting a yield of around 0.14%

   One of the issues (I think) is not being able to use the accrued
interest into the calculation.

   The underlying Ctd has a coupon on 30th June, 2021 and also the
settlement date assumed(based on mkt convention) is 30th Sept, 2021.

   Is there a way I can incorporate this accrued into the yield calculation?

   Also, does anyone see any issues with the script below that I am
using (seems to be working fine for most of the other contracts)

Regards

Sumit

===============================================================================


import QuantLib as ql

accrued_int = 0.655
price = 110.355
conv_factor = 0.9447
face_value = 100
end_of_month = False
calendar = ql.UnitedStates()
settlement_days = 84
coupon_rate = 2.625
maturity_date = ql.Date(30, 6, 2023)
issue_date = ql.Date(2, 7, 2018)

# 1. Create security
schedule = ql.Schedule(
        ql.Date(2, 6, 2021),
        maturity_date,
        ql.Period('6M'),
        calendar,
        ql.ModifiedFollowing,
        ql.ModifiedFollowing,
        ql.DateGeneration.Backward,
        end_of_month
)

day_count = ql.ActualActual(ql.ActualActual.Bond, schedule)
security = ql.FixedRateBond(
   settlement_days,
   face_value,
   schedule,
   [coupon_rate/100],
   day_count
)

yld = security.bondYield(
      price * conv_factor,
        day_count,
        ql.Compounded,
        ql.Semiannual
)

print(f"yield = {yld * 100}")


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