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

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As you said "index.clearFixings ()" command worked. Thank you very much.

Well, there is one more basic point that I cannot understand. How can I
link the index directly to my index curve?

In all the examples I saw on the internet like in the following ones,

"index = ql.Euribor6M ()"

"index = ql.Euribor3M ()"

or I saw the Libor version of this.

Actually, my zero coupon should be an index curve, right?

In my query how can I create the bridge between my index and index curve
zCurve?

(the part I would like to change: index = ql.Euribor6M(yts))

Thank you very much for your help,

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']

zeros = [

    0.000000, 0.001185, 0.001352, 0.001561, 0.001766, 0.001941, 0.002146,

0.002355, 0.002534,

    0.002712, 0.002897, 0.003069, 0.003232, 0.003395, 0.004146, 0.004549,

0.003148, 0.004040]

ql.Settings.instance().evaluationDate = ql.Date(7,5,2019)

qlDates = [ql.Date(dt, '%d-%m-%Y') for dt in dates]

dayCounter = ql.Actual360()

zCurve = ql.ZeroCurve(qlDates, zeros, ql.ActualActual(), ql.TARGET())

#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 = zCurve.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(zCurve)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2021),

ql.Period('6m'))

index = ql.Euribor6M(yts)

index.clearFixings()

index.addFixing(ql.Date(6,ql.August,2014), 0.05)

bond = ql.FloatingRateBond(2,100, schedule, ql.Euribor6M(yts),

ql.Actual360())

On 9 Oct 2020 Fri at 10:11 Francois Botha <ig...@gm...> wrote:

> So the error message states that you have already added the fixing.
>
> I'm unsure whether the Python interface for index.addFixing provides a
> parameter to optionally overwrite any existing indices. If so, try that.
> Alternatively, there should be something like index.clearFixings() which
> you can call first before adding new fixings.
>
> regards
>
> Francois Botha
>
>
> On Fri, 9 Oct 2020 at 08:58, isilay erol <ero...@gm...> wrote:
>
>> Hello again,
>>
>> I want to ask one more question;
>>
>> I want set a past fixing for the current latest coupon (which, having
>> fixed in the past, can’t be forecast).
>>
>> The forecasting of floating bond cashflow should be start generate from
>> this latest repring coupon rate.
>>
>> That’s why I heve added the following querry only to see what will happen;
>>
>>
>>
>>
>>
>> “index.addFixing(ql.Date(6,ql.March,2019), 0.003)”
>>
>>
>>
>> Bu I have the folowing error message;
>>
>> Am I thinking wrongly?
>>
>>
>>
>> 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']
>>
>>
>>
>> zeros = [
>>
>>     0.000000, 0.001185, 0.001352, 0.001561, 0.001766, 0.001941, 0.002146,
>>
>> 0.002355, 0.002534,
>>
>>     0.002712, 0.002897, 0.003069, 0.003232, 0.003395, 0.004146, 0.004549,
>>
>> 0.003148, 0.004040]
>>
>>
>>
>> ql.Settings.instance().evaluationDate = ql.Date(7,5,2019)
>>
>> qlDates = [ql.Date(dt, '%d-%m-%Y') for dt in dates]
>>
>> dayCounter = ql.Actual360()
>>
>>
>>
>>
>>
>> zCurve = ql.ZeroCurve(qlDates, zeros, ql.ActualActual(), ql.TARGET())
>>
>>
>>
>> forwardStart = ql.Date(15,6,2020)
>>
>> forwardEnd = ql.Date(15,12,2020)
>>
>> fwd = zCurve.forwardRate(forwardStart, forwardEnd, dayCounter,
>>
>> ql.Compounded, ql.Annual).rate()
>>
>> print(fwd)
>>
>> 0.005623856615195155
>>
>>
>>
>> yts = ql.YieldTermStructureHandle(zCurve)
>>
>> schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2021),
>>
>> ql.Period('6m'))
>>
>> index = ql.Euribor6M(yts)
>>
>> index.addFixing(ql.Date(6,ql.March,2019), 0.003)
>>
>> bond = ql.FloatingRateBond(2,100, schedule, ql.Euribor6M(yts),
>>
>> ql.Actual360())
>>
>>
>>
>> Traceback (most recent call last):
>>
>>
>>
>>   File "<ipython-input-61-ec28b13dc284>", line 5, in <module>
>>
>>     index.addFixing(ql.Date(6,ql.March,2019), 0.003)
>>
>>
>>
>>   File "C:\Anaconda3\lib\site-packages\QuantLib\QuantLib.py", line 5475,
>> in addFixing
>>
>>     return _QuantLib.Index_addFixing(self, fixingDate, fixing,
>> forceOverwrite)
>>
>>
>>
>> RuntimeError: At least one duplicated fixing provided: March 6th, 2019,
>> 0.003 while 0.002 value is already present
>>
>>
>> Best regards,
>>
>> On 8 Oct 2020 Thu at 17:20 isilay erol <ero...@gm...> wrote:
>>
>>> 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
>>>>>
>>>> _______________________________________________
>> 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