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

[Philippe H. <phi...@ex...>]

You could try ql.CashFlows(cashflows, curve_handle, valaution_date) I think. Where valuation date can be the curve evaluation date or anything you want but beware about ex-coupon dates 
Regards

Philippe Hatstadt
+1-203-252-0408


> On Dec 17, 2023, at 3:22 PM, Quant <qua...@gm...> wrote:
> 
> 
> 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
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