[Quantlib-users] How to specifiy setle date when using ql.DiscountingBondEngine

[Philippe H. <pha...@ma...>]

I am building a ql.YieldTermStructureHandle with US treasury bonds that settle T+1. Since the method is bootystrapping, I expect each bond sued to build the curve to repcie itself 100% accurateIy when pricing any of the bonds used to build the curve on such curve. To test that, I compute the bonds dirty price by first assigning a pricing engine via my_bond.set_pricing_engine_from_curve(curve_handle) and then calling my_bond.NPV(). While the above returns a value, it does not return a value exactly equal to the dirty price of the bond using the closed-form my_bond.dirtyPrice(*args, settle_date) method. the values differ by about 0.013, whihc is about euqal to 100 *(1-1/(1+.05/365)), meaning that the difference is about one day of discounting at a 5% rate, close to market rates. This strongly indicates that thre NPV() method discounts the cash flows to T+0 = trade_date, and not to the T+1 settle date. So how can I instruct my_bond.NPV() to use a given settle date? I looked in the documentation of both python and C++ and it doesn't seem like there is any way to do that? One thing I tried to do is ql.Settings.instance().evaluationDate = settle_date just before I call .NPV() but it does exactly the opposite and appears to add one more day of discounting instead of reducing it. Any advice is appreciated. Regards Philippe Hatstadt 203-252-0408 pha...@ma...