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

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

And as to the zeros - I may be wrong, but try explicitly setting the
evaluationDate to whatever date you want to be your spot.

On Sat, Apr 3, 2021 at 5:50 PM Arkadiy Naumov <ark...@gm...>
wrote:

> 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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>