[Quantlib-users] Calculating forward rates and forward rate coupons with the yield curve which I already have

[isilay e. <ero...@gm...>]

Dear Ben,

Thank you for your quick answer.

I want to do my calculations on anaconda python.

At this point, what kind of a link should I proceed between the solution
you suggested and quantlibXL and python?

Can you give me a simple example of floating bond cashflow generation so
that I can visualize it better in my mind?



At this point, without the yield curve construction part (with a given Zero
coupon curve) how can I generate cashflow and index in the example below?



I don’t want to use this yield curve contruction part.





##forecast_curve = ql.RelinkableYieldTermStructureHandle()

##forecast_curve.linkTo(ql.FlatForward(today, 0.002, ql.Actual360(),

##ql.Compounded, ql.Semiannual))





##index = ql.Euribor6M(forecast_curve)

##index.addFixing(ql.Date(6,ql.August,2014), 0.002)







import QuantLib as ql

from pandas import DataFrame



today = ql.Date(8,ql.October,2014)

ql.Settings.instance().evaluationDate = today



forecast_curve = ql.RelinkableYieldTermStructureHandle()

forecast_curve.linkTo(ql.FlatForward(today, 0.002, ql.Actual360(),

ql.Compounded, ql.Semiannual))





index = ql.Euribor6M(forecast_curve)

index.addFixing(ql.Date(6,ql.August,2014), 0.002)



issueDate = ql.Date(8,ql.August,2014)

maturityDate = ql.Date(8,ql.August,2019)

schedule = ql.Schedule(issueDate, maturityDate,

ql.Period(ql.Semiannual), ql.TARGET(),

ql.Following, ql.Following,

ql.DateGeneration.Backward, False)

bond = ql.FloatingRateBond(settlementDays = 3,

faceAmount = 100,

schedule = schedule,

index = index,

paymentDayCounter = ql.Actual360())



dates = [ c.date() for c in bond.cashflows() ]

cfs = [ c.amount() for c in bond.cashflows() ]

DataFrame(list(zip(dates, cfs)),

columns = ('date','amount'),

index = range(1,len(dates)+1))