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

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

One thing I noticed is that if I set "day_count" to ql.ActualActual()
instead of ql.ActualActual(ql.ActualActual.ISMA), then the dirty price
matches the npv exactly.  This is very strange.  The "day_count"
variable is consistently used in the bond's constructor, dirtyPrice(),
and InterestRate's constructor.  Why would ql.ActualActual.ISMA
causing dirty price and the npv to be different?  Am I missing
something?

On Fri, Aug 13, 2021 at 7:57 AM jian Xu <jia...@gm...> wrote:
>
> 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.
>
> ===============================
> 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)