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

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

As far as the first zero - that's your extra fixing contributing. Either
set it to 0.05 or create a custom index that does not have 2-days
settlement, so you don't even have to worry about it.
For the interest being slightly off - 0.05 is continuously compounded (you
set your zero curve this way), but the bond resets to "simple" rate (which
is higher, so the numbers make sense at least directionally)

On Sun, Apr 4, 2021 at 4:09 AM Brian Smith <bri...@gm...>
wrote:

> 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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