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

[Florian H. <fl...@po...>]

Hi Sumit,

I am not very familiar with this topic, but I can see that you added a 
spread of 0.8%. I think the total rate of the FRN is therefore 0.33% + 
0.8% = 1.13%. Thus, a quarterly coupon should be somewhere around 1.13/4 
= 0.2825 USD.
Hope this helps.

Best regards,
Florian

Am 29.09.2020 21:51 schrieb Sumit Sengupta:
> 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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