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

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

Thanks.

But still I dont have any clue what was wrong in below code?

[c.amount() for c in FloatingRateBond(0, 100, bond_schedule , myindex,
Actual360()).cashflows()]

Why am I getting 0 here as first coupon?

On Mon, 5 Apr 2021 at 15:11, David Duarte <nh...@gm...> wrote:
>
> The curve you are building takes continuous rates as inputs and uses linear interpolation of zero yields for non node points.
> You could alternatively specify annually compounded rates as inputs.
>
>
> In any case, you can inspect the cashflow details with ql.as_floating_coupon.
>
> Here is an example:
>
> bond = FloatingRateBond(0, 100, bond_schedule , myindex, Actual360())
> interest_cashflows = [*map(as_floating_rate_coupon, bond.cashflows())][:-1]
> rate = interest_cashflows[1].rate()
> accrualDays = interest_cashflows[1].accrualDays()
>
> print("Floating rate:", rate)
> print("Cashflow", 100 * rate * accrualDays/360)
>
>
> # Floating rate: 0.050644366225002097
> # Cashflow 2.588489829277885
>
>
> On Mon, 5 Apr 2021 at 07:02, Brian Smith <bri...@gm...> wrote:
>>
>> 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.
>> >> >>>
>> >> >>>
>> >> >>> _______________________________________________
>> >> >>> QuantLib-users mailing list
>> >> >>> Qua...@li...
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>>
>>
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