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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: David D. <nh...@gm...> - 2020-10-12 13:24:24
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Hi,
You seem to be misinterpreting what this line does:
ql.IborIndex('MyIndex', ql.Period('6m'), 2, ql.TRYCurrency(), ql.TARGET(),
ql.ModifiedFollowing, True, ql.Actual360())
It does create that named index and you check that like this for example:
ql.IndexManager.instance().histories()
But it is not a method/attribute/class of QuantLib so you should use it as:
index = ql.IborIndex('MyIndex', ql.Period('6m'), 2, ql.TRYCurrency(),
ql.TARGET(), ql.ModifiedFollowing, True, ql.Actual360(), yts)
On Mon, 12 Oct 2020 at 14:15, isilay erol <ero...@gm...> wrote:
> 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
>>>>>>
>>>>> _______________________________________________
>>>> QuantLib-users mailing list
>>>> Qua...@li...
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>>
>>>
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