Closed crypthodl91 closed 1 month ago
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May you post some code to reproduce the problem, including how you create the bond? Thanks!
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.
This issue was automatically closed because it has been stalled for two weeks with no further activity.
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()