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Re: [Quantlib-users] Calculating forward rates and forward rate coupons with the yield curve which I already have
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From: isilay e. <ero...@gm...> - 2020-10-08 14:20:48
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Thank you very much Luigi an David.
On 8 Oct 2020 Thu at 16:32 Luigi Ballabio <lui...@gm...> wrote:
> If you use ql.ZeroCurve instead of ql.DiscountCurve you can input zero
> rates directly and get a curve that you can use in the exact same way.
>
> Luigi
>
>
> On Thu, Oct 8, 2020 at 3:13 PM isilay erol <ero...@gm...> wrote:
>
>> 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
>>>>>>
>>>>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>
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