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

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Dear David,

You are right, the discount factors are increasing,

this indicates that the curve is negative.

Your sample  helped me a lot, thank you very much.

I need to make my calculation from the zero coupon yield curve itself,

not the discount factor. At this point,

I will try to move forward using the formula of the discount factor
calculation from zero coupon.

If you already have a Python example of this conversion, I would be very
happy if you could share it with me.

If not, I will try to derive it.

Thanks again

Best regards,

On 8 Oct 2020 Thu at 15:39 David Duarte <nh...@gm...> wrote:

> 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
>>>>
>>>

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

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