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

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

Hi Philippe,

Thanks for the reply. I kept on researching and I found a workaround of
dividing the discount factors from evaluation date to accrual end date by
the discount factor from evaluation date to bond settlement date as shown
in the code below;

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(row['date']) /
curve.discount(bond.settlementDate()), 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)
    row['Dirty Price'] = round(row['DiscFactor (Dirty Price)'] *
row['amount'], 9)
    BondCashflows.append(row)

BondCashflows = pd.DataFrame(BondCashflows)


Hope that makes sense.

Thanks & regards,



On Sun, Dec 17, 2023 at 10:37 PM Philippe Hatstadt <
phi...@ex...> wrote:

> 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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