[Quantlib-users] Fixed Coupon Bond with 3 equal redemptions of capital

[Ngonidzashe F. <ngo...@gm...>]

Hi All,

I have a valuation of a fixed coupon bond below and I need help with the
following;

   1. The repayment of the capital shall be made in three equal amounts on
   the following dates: 30 April 2030, 30 April 2031, 30 April 2032. One third
   of the nominal value of the loan will be redeemed on the above mentioned
   dates, after which no further interest will accrue on the redeemed portion.
   2. Extraction of the following values (i) nominal value, (ii) cash flows
   (i.e., coupon and redeemed capital), (iii) payment date, (iv) accrual start
   date, (v) accrual end date, (vi) accrual period, (vii) discount factor and
   (vii) PV of cash flows

*Valuation*


import QuantLib as ql

calc_date = ql.Date(30, 6, 2022)
ql.Settings.instance().evaluationDate = calc_date
spot_dates = [ql.Date(30,6,2022), ql.Date(1,7,2022),
         ql.Date(4,7,2022), ql.Date(7,7,2022),
         ql.Date(29,7,2022), ql.Date(31,8,2022),
         ql.Date(30,9,2022), ql.Date(30,12,2022),
         ql.Date(31,3,2023), ql.Date(30,6,2023),
         ql.Date(28,6,2024), ql.Date(30,6,2025),
         ql.Date(30,6,2026), ql.Date(30,6,2027),
         ql.Date(30,6,2028), ql.Date(29,6,2029),
         ql.Date(28,6,2030), ql.Date(30,6,2031),
         ql.Date(30,6,2032), ql.Date(30,6,2034),
         ql.Date(30,6,2037), ql.Date(30,6,2042),
         ql.Date(28,6,2047), ql.Date(28,6,2052)]
spot_rates = [0.000000, 0.046757, 0.047312, 0.047849,
          0.049859, 0.049461, 0.051026, 0.063041,
          0.069505, 0.074170, 0.074904, 0.079587,
          0.082547, 0.085506, 0.088410, 0.091284,
          0.093731, 0.095888, 0.097472, 0.099379,
          0.100715, 0.100591, 0.099606, 0.097955]
day_count = ql.Thirty360()
calendar = ql.UnitedStates()
interpolation = ql.Linear()
compounding = ql.Compounded
compounding_frequency = ql.Annual
spot_curve = ql.ZeroCurve(spot_dates, spot_rates, day_count, calendar,
                          interpolation, compounding, compounding_frequency)
spot_curve_handle = ql.YieldTermStructureHandle(spot_curve)

issue_date = ql.Date(30, 4, 2022)
maturity_date = ql.Date(30, 4, 2032)
tenor = ql.Period(ql.Semiannual)
calendar = ql.SouthAfrica()
business_convention = ql.Unadjusted
date_generation = ql.DateGeneration.Backward
month_end = False
schedule = ql.Schedule(issue_date, maturity_date, tenor,
                       calendar, business_convention,
                       business_convention, date_generation,
                       month_end)

# Let us print the schedule to check if it is in agreement with what
we expect it to be.
print("Payment dates: ",list(schedule))

# Now that we have the schedule, we can create the FixedRateBond object.
coupon_rate = 0.105
coupons = [coupon_rate]
settlement_days = 0
face_value = 100
fixed_rate_bond =
ql.FixedRateBond(settlement_days,face_value,schedule,coupons,day_count)

bond_engine = ql.DiscountingBondEngine(spot_curve_handle)
fixed_rate_bond.setPricingEngine(bond_engine)

print("NPV of Bond:",round(fixed_rate_bond.NPV(),2))

print("Clean Bond Price:",round(fixed_rate_bond.cleanPrice(),2))

print('Accrual start date:', ql.BondFunctions.accrualStartDate(fixed_rate_bond))

print('Accrual end date:', ql.BondFunctions.accrualEndDate(fixed_rate_bond))

print('Number of days between accrual start date and accrual end date:',
      day_count.dayCount(ql.BondFunctions.accrualStartDate(fixed_rate_bond),
                         ql.BondFunctions.accrualEndDate(fixed_rate_bond)))

print('Accrued days:', ql.BondFunctions.accruedDays(fixed_rate_bond))

print("Accrued Amount:",round(fixed_rate_bond.accruedAmount(),2))

print("Dirty Bond Price:",round(fixed_rate_bond.dirtyPrice(),2))

print("Bond yield:",round(fixed_rate_bond.bondYield(day_count,compounding,compounding_frequency),5))

print("Day Count:",fixed_rate_bond.dayCounter())

print("Settlement Date:",fixed_rate_bond.settlementDate())

for c in fixed_rate_bond.cashflows():
    print('%20s %12f' % (c.date(), c.amount()))

Thanks