U2515H, MacBook Pro 2015, Dell mDP to DP cable not working?

Hi all,

I just acquired a MacBook Pro 15" Mid 2015 model. I had a Dell U2515H monitor already. The cable provided from Dell is a DisplayPort to Mini DisplayPort. I was using this same cable with my Macbook Air late 2011 and it was working. I tried using the same cable with the Macbook Pro that I just bought and it doesn't work. I picked an old and only HDMI cable that I had plugged to my TV and that works fine. I'm wondering why it is not working with the DisplayPort cable provided since it worked with the old Macbook Air. Doesn't this new Thunderbolt accept this type of cable? Because if not, I will have to buy another HDMI cable :-/

Thanks, Ralph