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

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    <div class="moz-cite-prefix">Hello,<br>
      <br>
      Have you seen Luigi's notebook video here? <a
        moz-do-not-send="true"
href="https://www.youtube.com/watch?v=qh68IQYciFs&amp;list=PLu_PrO8j6XAvOAlZND9WUPwTHY_GYhJVr&amp;index=18">QuantLib
        notebooks: discount margin calculation</a><br>
      <br>
      I've not experienced the issue you mention other than the
      difference between compounded vs simple discount margin but I
      don't think this is explaining your issue.<br>
      Difficult to tell without more details.<br>
      <br>
      Lluís<br>
      <br>
      <br>
      El 25/2/24 a les 20:28, Quant ha escrit:<br>
    </div>
    <blockquote type="cite"
cite="mid:CAG...@ma...">
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      Hi All,
      <div dir="auto"><br>
      </div>
      <div dir="auto">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.</div>
      <div dir="auto"><br>
      </div>
      <div dir="auto">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?</div>
      <div dir="auto"><br>
      </div>
      <div dir="auto">Thanks &amp; regards,</div>
      <br>
      <fieldset class="moz-mime-attachment-header"></fieldset>
      <br>
      <fieldset class="moz-mime-attachment-header"></fieldset>
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