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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...> - 2020-10-15 08:33:43
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Thanks for your warning David, after that
I will post my questions in a relevant email,
And thanks for your help
Regards
On 12 Oct 2020 Mon at 17:20 isilay erol <ero...@gm...> wrote:
> Dear David I get it now, thank you
>
> Well then, if I revise my question as follows;
>
> Without linking to Euribor or libor index, if I load the zero yield curves
> of these indexes into python with their tenors
>
> What if I create forward cash flows by obtaining forward rates for
> floatİng products from these zero coupon curves?
>
> David, you had a suggestion for me, but I didn't quite understand this
> solution.
>
> Thanks for your help and answers,
>
>
> On 12 Oct 2020 Mon at 16:24 David Duarte <nh...@gm...> wrote:
>
>> 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
>>>>>>
>>>>>
|
