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

[Luigi B. <lui...@gm...>]

Can you post the rest of the setup, that is, the construction of the
schedule and the evaluation date?

Luigi


On Tue, Sep 29, 2020 at 9:54 PM Sumit Sengupta <su...@mo...>
wrote:

> 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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