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

[<ben...@ma...>]

The FRN coupon is fixing + IM (0.8%) so what Florian is correct, and when I have looked at the QL FRN valuations they looked correct to me.

 

Hard to say what Reuters is doing with out seeing the page, but may only be showing the previous fixing rate not the coupon rate.

 

Regards

 

Ben

 

 

From: Sumit Sengupta <su...@mo...> 
Sent: Wednesday, 30 September 2020 8:46 AM
To: Florian H. <fl...@po...>
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

 

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... <mailto: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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