Re: [Quantlib-users] Unable to extract CF amount of a Bond

[Arkadiy N. <ark...@gm...>]

Hi Brian,

Without running your code - the reason Jan29th comes into play is because
Euribor6M has a two days settlement built in:
https://github.com/lballabio/QuantLib/blob/master/ql/indexes/ibor/eurlibor.cpp#L63


On Sat, Apr 3, 2021 at 10:22 AM Brian Smith <bri...@gm...>
wrote:

> Hi,
>
> I found out that I have to add a dummy quote to get this work. So I added -
>
> myindex = Euribor6M(curveHandle)
> myindex.addFixing(Date(27, 7, 2018), 0.00)
>
> bond_schedule = Schedule(mydate,
> mydate + Period("1y"), Period(6, Months), Canada(), Unadjusted,
> Unadjusted, DateGeneration.Forward, False)
>
> [c.amount() for c in FloatingRateBond(0, 10000, bond_schedule ,
> myindex, Actual360()).cashflows()]
> [c.date() for c in FloatingRateBond(0, 10000, bond_schedule , myindex,
> Actual360()).cashflows()]
>
> However with this, I am getting strange result as all the coupon
> payments are coming as zero.
>
> Can you please help me to understand what went wrong in my code?
>
>
> On Sat, 3 Apr 2021 at 14:39, Brian Smith <bri...@gm...>
> wrote:
> >
> > Hi,
> >
> > I want to extract all the cash flow amounts from a bond as defined below
> -
> >
> > from QuantLib import *
> >
> > mydate = Date(31, 1, 2018)
> >
> > spots = [mydate, mydate + Period("6m"), mydate + Period("1y"), mydate
> > + Period("2y"), mydate + Period("3y")]
> > spotsdate = [0, 0.25, 0.45, 0.65, 0.85]
> >
> > curveHandle = YieldTermStructureHandle(ZeroCurve(spots, spotsdate,
> > Actual360(), Canada(), Linear(), Continuous))
> >
> > [c.amount() for c in FloatingRateBond(0, 10000, Schedule(mydate,
> > mydate + Period("1y"), Period(6, Months), Canada(), Unadjusted,
> > Unadjusted, DateGeneration.Forward, False) , Euribor6M(curveHandle),
> > Actual360()).cashflows()]
> >
> > However above code failed to achieve any result, but giving out below
> error -
> >
> > Traceback (most recent call last):File "<stdin>", line 1, in
> > <module>File "<stdin>", line 1, in <listcomp>File
> > "/usr/local/lib/python3.9/site-packages/QuantLib/QuantLib.py", line
> > 9967, in amountreturn _QuantLib.CashFlow_amount(self)RuntimeError:
> > Missing Euribor6M Actual/360 fixing for January 29th, 2018
> >
> > I wonder where the date January 29th, 2018 comes from and how to resolve
> this?
> >
> > Any pointer will be highly appreciated.
> >
> > Thanks for your time.
>
>
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