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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...> - 2020-10-12 13:15:57
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hello, if I wanted to create an index from my own zero curve for TL and I
wanted to link it in floating bon, I got an error like this.
ql.IborIndex('MyIndex', ql.Period('6m'), 2, ql.TRYCurrency(), ql.TARGET(),
ql.ModifiedFollowing, True, ql.Actual360())
Error message:
“AttributeError: module 'QuantLib' has no attribute 'MyIndex6M'
import QuantLib as ql
from pandas import DataFrame
dates = [
'30.12.2016','29.01.2017', '31.03.2017', '30.06.2017', '29.09.2017',
'30.12.2017',
'30.12.2018', '30.12.2019', '30.12.2020', '30.12.2021',
'30.12.2022', '30.12.2023', '30.12.2024', '30.12.2025', '30.12.2026']
zeros = [
0.000000,0.0693795966991162, 0.0759095626003495,0.0841499536866119,
0.0904620831158592, 0.0951565316374134, 0.103938304795234,
0.106710404148259, 0.107861984374564,
0.108326014217227, 0.10842920241869, 0.108326911551829,
0.108103450370549, 0.107821584741388, 0.107525270883584]
ql.Settings.instance().evaluationDate = ql.Date(30,12,2016)
qlDates = [ql.Date(dt, '%d-%m-%Y') for dt in dates]
dayCounter = ql.Actual360()
zCurve = ql.ZeroCurve(qlDates, zeros, ql.ActualActual(), ql.TARGET())
ql.IborIndex('MyIndex', ql.Period('6m'), 2, ql.TRYCurrency(), ql.TARGET(),
ql.ModifiedFollowing, True, ql.Actual360())
print(ql.IborIndex('MyIndex', ql.Period('6m'), 2, ql.TRYCurrency(),
ql.TARGET(), ql.ModifiedFollowing, True, ql.Actual360()))
yts = ql.YieldTermStructureHandle(zCurve)
schedule = ql.MakeSchedule(ql.Date(2,2,2011), ql.Date(24,1,2018),
ql.Period('6m'))
index=ql.MyIndex6M(yts)
index.addFixing(ql.Date(29,7,2016), 0.0487, True)
bond = ql.FloatingRateBond(2,100, schedule, ql.MyIndex(yts),
ql.Actual360())
On 9 Oct 2020 Fri at 15:28 isilay erol <ero...@gm...> wrote:
> Dear David,
>
>
>
> First of all, thank you for your detailed answer.
>
>
>
> index.addFixing(ql.Date(29,7,2016), 0.0487, True) query worked
>
> But I couldn’t solve my other problem.
>
> I may not be able to express myself or understand your example.
>
> I will explain below what I did step by step;
>
> · firstly, I put dates and rates on Anaconda python (this zero
> yield curve)
>
> · Secondly, I determined evaluation date, I changed the date
> format.
>
> · Then it was created as a zero coupon curve "zCurve".
>
> · After this stage, building the floating rate bond object and
> inspect the rate on the cashflows;
>
> · There is no problem with the following two lines;
>
> § yts = ql.YieldTermStructureHandle (zCurve)
>
> § schedule = ql.MakeSchedule (ql.Date (15,6,2020), ql.Date (15,6,2021),
> ql.Period ('6m'))
>
>
>
> but when I delete “ql.Euribor6M (yts)“in the index section and replace it
> with yts.linkTo (zCurve), the error message is occured
>
> Briefly, I want to make the index statement independent from Euribor or
> Libor and tie it to my zero coupon yield curve.
>
>
>
> Also in the next step, my goal is to remove the following "ql.Euribor6M
> (yts)" statement and not to use it in the same way in the query (I think
> this will be fixed automatically if I can fulfill my request above.)
>
> bond = ql.FloatingRateBond (2,100, program, ql.Euribor6M (yts),
>
> ql.Actual360 ())
>
>
>
> As a result, what should I substitute for ql.Euribor6M (yts) in the query
> below?
>
>
>
> Thank you very much,
>
>
>
> import QuantLib as ql
>
> from pandas import DataFrame
>
>
>
>
>
> dates = [
>
> '30.12.2016','29.01.2017', '31.03.2017', '30.06.2017', '29.09.2017',
> '30.12.2017',
>
> '30.12.2018', '30.12.2019', '30.12.2020', '30.12.2021',
>
> '30.12.2022', '30.12.2023', '30.12.2024', '30.12.2025', '30.12.2026']
>
>
>
> zeros = [
>
> 0.000000,0.0693795966991162, 0.0759095626003495,0.0841499536866119,
> 0.0904620831158592, 0.0951565316374134, 0.103938304795234,
>
> 0.106710404148259, 0.107861984374564,
>
> 0.108326014217227, 0.10842920241869, 0.108326911551829,
> 0.108103450370549, 0.107821584741388, 0.107525270883584]
>
>
>
> ql.Settings.instance().evaluationDate = ql.Date(30,12,2016)
>
> qlDates = [ql.Date(dt, '%d-%m-%Y') for dt in dates]
>
> dayCounter = ql.Actual360()
>
>
>
> zCurve = ql.ZeroCurve(qlDates, zeros, ql.ActualActual(), ql.TARGET())
>
>
>
> yts = ql.YieldTermStructureHandle(zCurve)
>
> schedule = ql.MakeSchedule(ql.Date(2,2,2011), ql.Date(24,1,2018),
>
> ql.Period('6m'))
>
> index = ql.Euribor6M(yts)
>
> index.addFixing(ql.Date(29,7,2016), 0.0487, True)
>
> bond = ql.FloatingRateBond(2,100, schedule, ql.Euribor6M(yts),
>
> ql.Actual360())
>
>
>
> dates = [ c.date() for c in bond.cashflows() ]
>
> cfs = [ c.amount() for c in bond.cashflows() ]
>
> DataFrame(list(zip(dates, cfs)),
>
> columns = ('date','amount'),
>
> index = range(1,len(dates)+1))
>
> On 9 Oct 2020 Fri at 11:19 David Duarte <nh...@gm...> wrote:
>
>> Hi,
>>
>> You can either clear the fixings or use the optional boolean third
>> parameter on the addFixing method to explicitly overwrite the existing
>> value:
>>
>> index.addFixing(ql.Date(6,ql.March,2019), 0.003, True)
>>
>>
>> On the other question, the parameter for the index is a
>> YieldTermStructureHandle and you can create one and then link to whichever
>> curve you wish to use.
>> Maybe this simple example will help you understand:
>>
>> yts = ql.RelinkableYieldTermStructureHandle()
>> index = ql.Euribor6M(yts)
>>
>> crv1 = ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360())
>> yts.linkTo(crv1)
>> print(index.fixing(ql.Date(15,12,2020)))
>>
>> crv2 = ql.FlatForward(2, ql.TARGET(), 0.02, ql.Actual360())
>> yts.linkTo(crv2)
>> print(index.fixing(ql.Date(15,12,2020)))
>>
>>
>>
>>
>> On Fri, 9 Oct 2020 at 08:38, isilay erol <ero...@gm...> wrote:
>>
>>> 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
>>>>>
>>>> _______________________________________________
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