[Quantlib-users] Coupon Spread vs Discount Margin for Floating Rate Bond in Quantlib

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

Hi All,

I have valued a 5-year Floating Rate Bond (FRB) in Quantlib that has a
coupon spread of 160bps over the reference index. The FRB is issued at par
(face value 100) and theoretically the Discount Margin should exactly be
the same as the coupon spread on issue. In this instance, the Discount
Margin should be equal to 160bps as well to have the fair value as 100.
However, on solving for a Discount Margin using ZeroSpreadedTermStructure
in Quantlib, I am getting a slightly different Discount Margin of 169.75bps.

Has anyone encountered the same issue? If so, how do we get to the Discount
Margin which is exactly the same as the coupon spread on issue date?

Thanks & regards,