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

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

That is correct. The rates in EUR are negative.
Notice the discount factors are above 1

On Thu, 8 Oct 2020, 13:10 isilay erol, <ero...@gm...> wrote:

> Dear David,
> I'm working on Anaconda Python,
> Thank you for your help,
> When I ran your query,
> I got negative fwd rates and negative fwd cash flows, am I missing
> something?
>
> You can see my results in the following:
>
> import QuantLib as ql
>
> from pandas import DataFrame
>
>
>
>
>
> 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())
>
>
>
> 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)
>
> -0.0019082224391586688
>
>
>
> 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 dt in schedule:
>
>     print(dt, index.fixing(dt))
>
>
>
>
>
> June 15th, 2020 -0.00190201607110241
>
> December 15th, 2020 -0.001253382120767248
>
> June 15th, 2021 -0.00039680612008295636
>
> On 8 Oct 2020 Thu at 12:21 David Duarte <nh...@gm...> wrote:
>
>> 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?
>>>
>> _______________________________________________
>>
>>
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>