http://quantlib.414.s1.nabble.com/Question-small-discrepancy-in-bond-cleanPrice-versus-calling-BondFunctions-cleanPrice-help-tp17898p17900.html
effectively for the calculation of forward discount factors. The
which might be different in your case for one or several cashflows. I
> Hi
>
> I’m very new to Quantlib - about a week in (quite amazed so far!), but I
> have managed to get some bonds working in Python 2.7, using SWIG. QL v 1.9.
>
> I have set up a bond and the schedule is correct. When I calculate the clean
> price by inputting a yield (using BondFunctions.cleanPrice(…pass in yield)),
> this is correct (and yield from clean price), accrued is also correct and
> duration is fine as yield is not far out.
>
> However, when I attach a yield curve (flat forward) with the same yield, I
> get a fractionally different / price yield calc. Dates in the schedule are
> unadjusted, not modified following.
>
> Results:
>
> Clean Price Expected : 179.03
> Clean Price BondFunctions.cleanPrice() : 179.03
> Clean Price bond.cleanPrice() : 179.09
> Difference : 0.0626431535518
>
> Yield Expected : -0.0145461
> Yield BondFunctions.BondYield() : -0.0145461
> Yield bond.bondYield() : -0.01455624
> Difference : 1.01382016107e-05
>
> Duration Expected : 34.52
> Duration BondFunctions.duration() : 34.52
> Accrued Expected : 0.0483425414365
> Accrued BondFunctions.accruedAmount() : 0.0483425414365
> Accrued bond.accruedAmount() : 0.0483425414365
> Program ended with exit code: 0
>
> As you can see the calculated clean price from bond.cleanPrice() is 6 cents
> different (incorrect)..and it’s been driving me mad!! The yield is different
> from the 5th decimal place.
>
> This is a real bond and the input numbers have been verified using a manual
> calc in excel, they match the officially published numbers from the UK debt
> management office (negative yield
> is the real yield for an inflation linked gilt, i.e. the quote of 179.03 is
> the market quote (clean) for the UKTI 52’s, before the index ratio is
> applied).
>
> In this example the price is the closing price for 30th Nov and settlement
> date is 1st Dec, 2016.
>
> If anyone can point out where I have gone wrong it would be much
> appreciated.
>
> Code is below.
>
> Many thanks
>
> Nick
>
> import QuantLib as ql
> import datetime as dt
> calendar = ql.UnitedKingdom()
> coupons=[0.0025]
> exCouponPeriod=ql.Period(6,ql.Days)
> calendarCoupon=ql.UnitedKingdom()
> faceValue=100
> businessConvention = ql.Unadjusted
> businessConventionCoupon=ql.Unadjusted
>
> today = ql.Date(30,11,2016)
> evaluationDate = calendar.adjust(today)
> issue_date = calendar.advance(evaluationDate,-1, ql.Years)
> maturity_date = ql.Date(22,3,2052)
>
> settlementDays=1
> settlementDate=today+1
> dayCount=ql.ActualActual(ql.ActualActual.ISMA)
>
>
> ql.Settings.instance().setEvaluationDate(evaluationDate)
>
> #input values to be checked
> inputYield=-0.014546100
> inputCleanPrice=179.03
> inputDuration=34.52
> inputAccrued=0.0483425414365
>
>
> #create schedule
> fixedSchedule =
> ql.Schedule(issue_date,maturity_date,ql.Period(ql.Semiannual),calendar,ql.Unadjusted,ql.Unadjusted,ql.DateGeneration.Backward,False)
>
> #create bond
> fixed_rate_bond =
> ql.FixedRateBond(settlementDays,faceValue,fixedSchedule,coupons,dayCount,businessConvention,100,issue_date,calendar,exCouponPeriod,calendarCoupon,businessConventionCoupon,False)
>
> #curve
> ts_curve=ql.FlatForward(evaluationDate, inputYield, dayCount, ql.Compounded,
> ql.Semiannual)
>
> #curve handle
> ts_handle = ql.YieldTermStructureHandle(ts_curve)
>
> #create bond engine
> bond_engine = ql.DiscountingBondEngine(ts_handle)#set bond engine
>
> #set pricing engine
> fixed_rate_bond.setPricingEngine(bond_engine)
>
> #calculate yield from clean price
> #calculations using BondFunctions
> bf_gry=ql.BondFunctions.bondYield(fixed_rate_bond,inputCleanPrice,dayCount,ql.Compounded,ql.Semiannual,settlementDate)
> bf_cp=ql.BondFunctions.cleanPrice(fixed_rate_bond,bf_gry,dayCount,ql.Compounded,ql.Semiannual,settlementDate)
> bf_ai=ql.BondFunctions.accruedAmount(fixed_rate_bond,settlementDate)
> bf_md=ql.BondFunctions.duration(fixed_rate_bond,bf_gry,dayCount,ql.Compounded,ql.Semiannual,ql.Duration.Modified,settlementDate)
>
> #Calculations using bond
> b_gry=fixed_rate_bond.bondYield(dayCount,ql.Compounded,ql.Semiannual)
> b_cp=fixed_rate_bond.cleanPrice()
> b_ai=fixed_rate_bond.accruedAmount()
>
> print "Clean Price Expected :",inputCleanPrice
> print "Clean Price BondFunctions.cleanPrice() :",round(bf_cp,2)
> print "Clean Price bond.cleanPrice() :",round(b_cp,2)
> print "Difference :",b_cp-bf_cp
> print ""
> print "Yield Expected :",round(inputYield,8)
> print "Yield BondFunctions.BondYield() :",round(bf_gry,8)
> print "Yield bond.bondYield() :",round(b_gry,8)
> print "Difference :",bf_gry-b_gry
> print ""
>
> print "Duration Expected :",inputDuration
> print "Duration BondFunctions.duration() :",round(bf_md,2)
>
> print "Accrued Expected :", inputAccrued
> print "Accrued BondFunctions.accruedAmount() :", bf_ai
> print "Accrued bond.accruedAmount() :", b_ai
>
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