Re: [Quantlib-users] Release candidates for QuantLib 1.20

[isilay e. <ero...@gm...>]

Dear all,

I have a question about the last announced coupon rate for floating bond.

When I run the following query, an error occurs like in the following.

This error seems strange to me, because the requested date is too old.

We expect that  this bond should be repriced in  June 2020, based on
repricing every 6 months(semiannual).

But the error is asking us for a date before the bond is issued. Can you
help me?

Thank you,





RuntimeError: Missing MyIndex6M Actual/360 fixing for December 27th, 2018



Query;



import QuantLib as ql





dates = [

     '30.12.2019', '30.12.2020',

    '30.12.2021', '30.12.2022', '30.12.2023', '30.12.2024', '30.12.2025']

zeros = [

     0.000000,

  0.108326014217227, 0.10842920241869, 0.108326911551829,
0.108103450370549, 0.107821584741388, 0.107525270883584]



today = ql.Date(30,ql.September,2020)

ql.Settings.instance().evaluationDate = today

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.RelinkableYieldTermStructureHandle()

yts.linkTo(zCurve)



##Then, I instantiate the index to be used. The bond has semiannual
coupons, Also, I set a past fixing for the current

##coupon (which, having fixed in the past, can’t be forecast).



index = ql.IborIndex('MyIndex', ql.Period('6m'), 2, ql.TRYCurrency(),
ql.TARGET(), ql.ModifiedFollowing, True, ql.Actual360(), yts)

index.addFixing(ql.Date(30,6,2020), 0.05, True)



##The bond was issued before the evaluation date and will run for 5 years
with

##semiannual coupons.



issueDate = ql.Date(30,ql.December,2018)

maturityDate = ql.Date(30,ql.June,2023)

schedule = ql.Schedule(issueDate, maturityDate,

ql.Period(ql.Semiannual), ql.TARGET(),

ql.Following, ql.Following,

ql.DateGeneration.Backward, False)

bond = ql.FloatingRateBond(settlementDays = 2,

faceAmount = 100,

schedule = schedule,

index = index,

paymentDayCounter = 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 14 Oct 2020 Wed at 19:08 Luigi Ballabio <lui...@gm...> wrote:

> Hello everybody,
>     release candidates for QuantLib 1.20 are available at <
> https://bintray.com/beta/#/quantlib/prerelease/QuantLib/1.20-RC?tab=files>.
> If you have some spare cycles, please kick their tires and let me know if
> there are any problems.
>
> Thanks,
>     Luigi
>
>
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