Quantlib - ACT ACT ISMA , Short Stub cases with EOM True leading to incorrect coupon just for 1st period

[crypthodl91]

Using the below parameters for creating the schedule and Accrual calculation for bond

Accrual Date - 15th Feb 2023 First Coupon Date - 30th April 2023 End Of Month - True Frequency - Qtrly Maturity - 31 May 2024

Expected schedule 30-April 2023 31 - July 2023 31- Oct 2023 31- Jan 2024 31-May 2024

Quantlib creates the schedule correctly, but while calculating the Accrual using Fixed rate bond the number of days in denominator is incorrect .

Expected values for ACT/ ACT isma in first period 31- July - 30 April = 75 Days Denominator = 92 4 Denominator as of now = 75* 4

This is leading to wrong values for 1st period for accruals. Could you help ?

Schedule creation

ql.Schedule(accrualDate, MaturityDate, frequency,calendar, ql.Unadjusted, ql.Unadjusted, ql.DateGeneration.Forward,False,firstCouponDate)

accrued amount

fixedRateBond.accruedAmount()

[boring-cyborg[bot]]

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This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.

[lballabio]

May you post some code to reproduce the problem, including how you create the bond? Thanks!

[github-actions[bot]]

This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.

[github-actions[bot]]

This issue was automatically closed because it has been stalled for two weeks with no further activity.