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

[Brian S. <bri...@gm...>]

Thanks for your comments.

But I still failed to understand the coupon payments at various coupon
dates. Below is my full example -

from QuantLib import *

mydate = Date(31, 1, 2018)

Settings.instance().evaluationDate = mydate

spots = [mydate, mydate + Period("6m"), mydate + Period("1y"), mydate
+ Period("2y"), mydate + Period("3y")]
spotsdate = [0, 0.05, 0.05, 0.05, 0.05]

curveHandle = YieldTermStructureHandle(ZeroCurve(spots, spotsdate,
Actual360(), Canada(), Linear(), Continuous))

myindex = Euribor6M(curveHandle)
myindex.addFixing(Date(29, 1, 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, 100, bond_schedule , myindex,
Actual360()).cashflows()]
[c.date()   for c in FloatingRateBond(0, 100, bond_schedule , myindex,
Actual360()).cashflows()]

### [0.0, 2.5884898292778846, 100.0]
### [Date(31,7,2018), Date(31,1,2019), Date(31,1,2019)]

So I see on the 1st coupon date, QL is showing coupon payment as 0. Why?
And, on the last coupon date, coupon payment is 2.5884898292778846.
How this number is calculated? If I manually calculate this, I get
just a close match -

5 * Actual360().yearFraction(spots[1], spots[2])

### 2.5555555555555554

Am I missing something?

On Sun, 4 Apr 2021 at 03:27, Arkadiy Naumov <ark...@gm...> wrote:
>
> 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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