[Quantlib-users] Callable and Fixed Rate Bond Daycount conventions

[Jan M. <jan...@gm...>]

Hey all,

I am trying to price a number of bonds but am struggling with some day
count conventions. Please find them listed below:

day_counts = np.array(['ACT/365', 'ACT/ACT', '30E/360', '30/360 ISMA',
'30/360',
'ACT/360', '30/360 SIA', '30/360 ISDA', 'ACT/365 ISDA'], dtype=object)

I created a function (seen below) which takes in a dictionary of bond
pricing information and determines the day count convention of the bond
from a string using Quantlib. Unfortunately, I do not fully understand how
to use the quantlib package properly to determine these conventions.

I require the day count conventions to price both Callable and Fixed Rate
bonds using the "ql.CallableFixedRateBond" and "ql.FixedRateBond" objects.

import QuantLib as ql
def get_daycount(contract):
    day_count = contract["DaycountCode"]
    if day_count == "ACT/365":
        day_count = ql.ActualActual.Actual365
    if day_count == "ACT/ACT":
        day_count = ?
    if day_count == "30E/360":
        day_count = ql.Thirty360.EurobondBasis
    if day_count == "30/360 ISMA":
        day_count = ql.ActualActual.ISMA
    if day_count == "30/360":
        day_count = ql.Thirty360
    if day_count == 'ACT/360':
        day_count = ql.Actual360
    if day_count == '30/360 SIA':
        day_count = ?
    if day_count == '30/360 ISDA':
        day_count = ?
    if day_count == 'ACT/365 ISDA':
        day_count = ql.ActualActual.ISDA
    return day_count

Any help would be greatly appreciated!

Best Regards,
Jan Muller

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