[Quantlib-users] Extracting Discount Factors with reference from Bond Settlement Date instead of Evaluation Date

[Quant <qua...@gm...>]

Hi Quantlib Users,

I have bootstrapped the yield curve and I have managed to extract discount
factors from this yield curve but the discount factors are referencing from
the Evaluation Date. These discount factors are used to calculate the PV of
the bond but they can not be used to calculate the Dirty Price of the bond
if the Evaluation Date is different from the Bond Settlement Date. How do I
extract the Discount Factors from the Bond Settlement Date instead of the
Evaluation Date. Hoping that my question is clear.

Find below a part of the code that I have tried to use to extract the
discount factors;

fields = ['accrualStartDate', 'accrualEndDate', 'date', 'nominal', 'rate',
          'amount', 'accrualDays', 'accrualPeriod']
BondCashflows = []
for cf in list(map(ql.as_fixed_rate_coupon, bond.cashflows()))[:-1]:
    row = {fld: eval(f"cf.{fld}()") for fld in fields}
    row['AccrualPeriod'] = round((row['accrualEndDate'] -
row['accrualStartDate']) / 365, 4)
    if row['date'] >= today:
        row['ZeroRate (NPV)'] = round(curve.zeroRate(row['date'],
day_count, ql.Compounded, ql.Annual).rate(), 9)
        row['ZeroRate (Dirty Price)'] =
round(curve.forwardRate(bond.settlementDate(), row['date'], day_count,
ql.Compounded, ql.Annual).rate(), 9)
        row['DiscFactor (NPV)'] = round(curve.discount(row['date']), 9)
        row['DiscFactor (Dirty Price)'] =
round(curve.discount(bond.settlementDate(), row['date']), 9)
    else:
        row['ZeroRate (NPV)'] = 0
        row['ZeroRate (Dirty Price)'] = 0
        row['DiscFactor (NPV)'] = 0  # or any other appropriate
handling for dates before today
        row['DiscFactor (Dirty Price)'] = 0  # or any other
appropriate handling for dates before today
    row['NPV'] = round(row['DiscFactor (NPV)'] * row['amount'], 9)
    BondCashflows.append(row)

BondCashflows = pd.DataFrame(BondCashflows)

print(BondCashflows)


Thanks & regards