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

[Ioannis R. <qua...@de...>]

The statement INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100) is a method of 
the calling index.

As such, it cannot possibly know of the existence of any spread since 
the latter is a property of the particular instrument that may use that 
index.

If the 0.33/100 were referring to the whole FRN coupon, what would be 
the situation where the same index is referenced several times by a 
given instrument, eg a floating-to-floating swap?

Since the fixing is added only once on the referenced index and used by 
all index clients, the only possibility is that 0.33/100 does not 
contain instrument-specific parts, such as FRN spreads.

Ioannis

On 30/09/2020 00:51, ben...@ma... wrote:
>
> 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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