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From: Sumit S. <su...@mo...> - 2020-09-29 19:51:30
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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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