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

[David D. <nh...@gm...>]

Are you using c++, python or excel?

Since you already have a yield curve, you can build the object by inputting
spot rates (ZeroCurve class) or discount factors (DiscountCurve).

Here is an example using python:

dates = [
    '07-05-2019', '11-11-2019', '09-12-2019', '09-01-2020', '10-02-2020',
'09-03-2020', '09-04-2020', '11-05-2020', '09-06-2020',
    '09-07-2020', '10-08-2020', '09-09-2020', '09-10-2020', '09-11-2020',
'10-05-2021', '09-05-2022', '09-05-2023', '09-05-2024']

dfs = [
    1.000000, 1.001185, 1.001352, 1.001561, 1.001766, 1.001941, 1.002146,
1.002355, 1.002534,
    1.002712, 1.002897, 1.003069, 1.003232, 1.003395, 1.004146, 1.004549,
1.003148, 0.999840]

ql.Settings.instance().evaluationDate = ql.Date(7,5,2019)
qlDates = [ql.Date(dt, '%d-%m-%Y') for dt in dates]
dayCounter = ql.Actual360()
curve = ql.DiscountCurve(qlDates, dfs, dayCounter, ql.NullCalendar())



To get the forward rates, you can use the "forwardRate" method from the
curve:

forwardStart = ql.Date(15,6,2020)
forwardEnd = ql.Date(15,12,2020)
fwd = curve.forwardRate(forwardStart, forwardEnd, dayCounter,
ql.Compounded, ql.Annual).rate()
print(fwd)

or build the floating rate bond object and inspect the rate on the
cashflows:

yts = ql.YieldTermStructureHandle(curve)
schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2021),
ql.Period('6m'))
index = ql.Euribor6M(yts)
bond = ql.FloatingRateBond(2,100, schedule, ql.Euribor6M(yts),
ql.Actual360())

for cf in map(ql.as_coupon, bond.cashflows()):
    if cf:
        print(cf.accrualStartDate().ISO(), cf.accrualStartDate().ISO(),
f"{cf.rate():.3%}")


or even get the rate from the index for given set of dates:

for dt in schedule:
    print(dt, index.fixing(dt))





On Thu, 8 Oct 2020 at 06:39, isilay erol <ero...@gm...> wrote:

> Dear Luigi,
>
> I just met with quantlib.
>
> I try to understand from the examples how cash flows of floating rate
> bonds are created.
>
> But in the examples, I always see that yield curves are established from
> scratch.
>
>
>
> I want to calculate forward rates and forward rate coupons with the yield
> curve which I already have.
>
> (I don't want to construct a yield curve from scratch again - I have a
> zero coupon yield curve)
>
> And this way I want to create the cash flows of the floating bond. But I
> could not understand how I could do this.
>
> Can you help me on this issue?
> _______________________________________________
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