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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...> - 2020-10-16 08:54:32
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Hi to all,
lgnore my latest question,
Thank you, my calculaton was wrong, it's working now,
Thank you David
Regards
On 15 Oct 2020 Thu at 16:06 isilay erol <ero...@gm...> wrote:
> I have one more question
>
> After connecting the index to the zero curve, when calculating the fwd
> curve, I see that query divides the fwd curve by “2”.
>
> While calculating the fwd rate, the difference between two consecutive
> dates in the bond's forward cash flows is taken into account.
>
> Dividing the calculated fwd ratio by two again will cause decrease the
> ratio again.
>
> ( I guess It should not divide it again), what am I missing?
>
> On 15 Oct 2020 Thu at 11:33 isilay erol <ero...@gm...> wrote:
>
>>
>> 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
>>>>>>>>
>>>>>>>
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