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I am trying to evaluate the present value of some cashflows and QuantLib does not return the discount factors that I am expecting.

I have a Risk Free (Zero Coupon Bond) Yield curve:

import QuantLib as ql

dates = [Date(1,12,2022), Date(2,12,2022), Date(1,1,2023), Date(1,2,2023), Date(1,3,2023), Date(1,4,2023), Date(1,5,2023), Date(1,6,2023)]
rates = [0.0, 0.0059, 0.0112, 0.0160, 0.0208, 0.0223, 0.0239, 0.0254]

So I create a QuantLib ZeroCurve:

discount_curve_day_count = ql.ActualActual(ql.ActualActual.ISDA)
discount_curve_compounding_frequency = ql.Annual
discount_curve_compounding_type = ql.Compounded
calendar = ql.NullCalendar()

zero_curve = ql.ZeroCurve(dates,rates, discount_curve_day_count,calendar, ql.Linear(),discount_curve_compounding_type,discount_curve_compounding_frequency)

I define the Leg of Cashflows:

cf_dates = [Date(18,1,2023), Date(18,2,2023), Date(18,3,2023), Date(18,4,2023), Date(18,5,2023), Date(18,6,2023), Date(18,7,2023), Date(18,8,2023), Date(18,9,2023), Date(18,10,2023), Date(18,11,2023), Date(18,12,2023), Date(18,1,2024), Date(18,2,2024), Date(18,3,2024), Date(18,4,2024), Date(18,5,2024), Date(18,6,2024), Date(18,7,2024), Date(18,8,2024), Date(18,9,2024), Date(18,10,2024), Date(18,11,2024), Date(18,12,2024), Date(18,1,2025)]

cf_amounts = [-30000.0, 203.84, 184.11, 203.84, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37, 634.37,634.37, 634.37, 634.37]

cf= []
for i in range(len(cf_dates)):
    cashflow = ql.SimpleCashFlow(cf_dates[i], cf_amounts[i])
    cf.append(cashflow) 

leg = ql.Leg(cf)

And I want to evaluate the discount factors at the cashflow dates:

for cf in leg:
    print(cf.date(), zero_curve.discount(cf.date()))

Unfortunately, the values I get are slightly off (error=0.02) from the expected ones, calculated using the following compounding formula:

$$ d = \frac{1}{(1+r)^y \left( 1+r\frac{d_p}{d_y} \right)} $$

where $r$ is the linearly interpolated rate from the curve, $y$ is the number of years that have passed from the first cashflow date, $d_p$ is the number of days that have passed from the previous payment and $d_y$ the number of days in the year in which the payment occurs (all of these are calculated using Act/Act ISDA daycount convention).

Any chance I can get those numbers right using QuantLib?

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2
  • $\begingroup$ append takes 1 argument, you are giving 2 - your code does not work $\endgroup$
    – Pythonista anonymous
    May 5 at 9:04
  • $\begingroup$ Right, I forgot to make the couples SimpleCashFlows before appending, but that was not the issue I was asking about. $\endgroup$
    – Leonardo Cruciani
    May 12 at 7:12

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