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

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

Many thanks for the help Ioannis, Ben and Florian. Much appreciated

Regards
Sumit

On Wed, 30 Sep 2020, 07:24 Ioannis Rigopoulos, <qua...@de...>
wrote:

> 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...>
> <su...@mo...>
> *Sent:* Wednesday, 30 September 2020 8:46 AM
> *To:* Florian H. <fl...@po...> <fl...@po...>
> *Cc:* QuantLib users <qua...@li...>
> <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...> 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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> >
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