[Quantlib-users] Problems Reconciling Quantlib Yield to Maturity

[Amir L. <ami...@gm...>]

Hi Quantlib Users,

I am having some difficulties in  reconciling the yield to maturity
calculation for a stream of cashflows.

I have attached the jupyter notebook with my code.

In the code,  I take vectors of dates and amounts to create a BondLeg, to
which I assign a dirty_value.

I use ql.Cashflows.yieldRate to calculate an Annually Compounding and
Continuous Compounding Yield to Maturity.

I generate the yearFraction for the dates using the same daycount basis
used to calculate the yields.


I then use a PYOMO Non Linear Optimization Solver (ipopt) to solve for the
yield to maturities using the yearfractions, cashflow amounts and
dirty_value.

The PYOMO annually compounding yield is within 1bp of the QuantLib yield.
However,  the QuantLib continuously compounding yield is 13bp higher than
the PYOMO yield.

Any help in figuring out what I am doing wrong would be much appreciated.

PS,  Excel using Goal Seek gives me the same answers as PYOMO as one would
expect.

Many thanks in advance,

Best,