[Quantlib-users] Bond dirty price different from discounted cashflow?

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

Hi,
I saw some difference between a bond's dirty price and the discounted
cashflow to the settlement date.  Cannot figure out why.

For example, in the following code, the dirty price is 103.4815, while
my discounted cashflow is 103.4674, why?  Thanks a lot.

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import QuantLib as ql

## setup the security
schedule = ql.MakeSchedule(effectiveDate = ql.Date(30, 6, 2018),
                           terminationDate = ql.Date(30, 6, 2023),
                           tenor = ql.Period(2),
                           calendar =
ql.UnitedStates(ql.UnitedStates.GovernmentBond),
                           convention = ql.Unadjusted,
                           terminalDateConvention=ql.Unadjusted,
                           rule = ql.DateGeneration.Backward,
                           endOfMonth = True)

day_count = ql.ActualActual(ql.ActualActual.ISMA)  # US market
convention, not the QuantLib default !!!
face = 100
redemption = 100
issue_date = ql.Date(2, 7, 2018)
days_settle = 1
coupon = 2.625/100
payment_convention = ql.Unadjusted
bond = ql.FixedRateBond(days_settle,
                        face,
                        schedule,
                        [coupon],
                        day_count,
                        payment_convention,
                        redemption,
                        issue_date)

## Dirty price
settle_date = ql.Date(5, 10, 2021)
yld = 0.01
freq = ql.Semiannual
print(bond.dirtyPrice(yld, day_count, ql.Compounded, freq, settle_date))

## my discount cash flow
disc = ql.InterestRate(yld, day_count, ql.Compounded, freq)
npv = 0
for cf in bond.cashflows():
    if cf.date() < settle_date:
        continue
    df = disc.discountFactor(settle_date, cf.date())
    npv += cf.amount() * df
print(npv)