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

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

Thanks Florian. That might be it!

 Looking at Reuters ( where they don't apply the margin on previous fixing,
I was under the impression that QL was doing the same.

Regards
Sumit

On Tue, 29 Sep 2020, 21:41 Florian H., <fl...@po...> wrote:

> 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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