[Quantlib-users] Unable to explain this strange behaviour for FRN

[Sumit S. <su...@mo...>]

Hi,

    Would really appreciate it if someone can please comment on where I am
going wrong...
I am creating a simple FRN as below

index = Euribor6M(forecast_curve)
# add the fixing
*index.addFixing(Date(5, 8, 2020), 0.33/100)*

self.ql_bond_frn = ql.FloatingRateBond(
            settlementDays=2,
            faceAmount=100,
            schedule=schedule,
            index=index,
            *spreads=[0.8/100],*
            paymentDayCounter=ActualActual(),
            paymentConvention=ModifiedFollowing,
            redemption=100,
        )

aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
c.date() > self.value_date]

I would expect the first cashflow to be simply 0.33*0.25 as this is a
quarterly floater. So it should be close to *0.0825*

However, when I see the list aa with the cash flow amount, I see the first
entry as *0.28*

Any thoughts?

*Thanks,*
*Sumit*

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