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

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

Thanks again.

Below is my modified code with 0 replaced by a dummy 0.05. But still I
see 0 for first coupon payment.

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 = [0.05, 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)]

To match the second coupon payment, I used below manual formula to
convert continuous compounding to semi-annual :

(math.sqrt(math.exp(0.05)) - 1)*2 * Actual360().yearFraction(spots[1],
spots[2]) * 100
### 2.5877678758305054

With this, I got a better match, but still not exact. Should I make
any other adjustment?

Appreciate your pointer.

Thanks and regards,

On Mon, 5 Apr 2021 at 04:08, Arkadiy Naumov <ark...@gm...> wrote:
>
> 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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