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

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

Hi all - I would really appreciate if someone points me why I see this
difference, although small, just to make sure I am not making any
trivial mistake.

Thanks for your time.

On Mon, 5 Apr 2021 at 15:48, Brian Smith <bri...@gm...> wrote:
>
> I see. Thanks for pointing this out.
>
> Coming back to the calculation of 2nd coupon, I did manual calculation
> given that in the yield curve construction, I choose continuous
> compounding -
>
> (math.sqrt(math.exp(0.05)) - 1)*2 * Actual360().yearFraction(spots[1],
> spots[2]) * 100
>
> This gives answer 2.5877678758305054
>
> Whereas, QL gives coupon payment as 2.5884898292778846
>
> So, I dont see any exact match. Is there any definitive reason for
> this? Or just due to floating point error?
>
> On Mon, 5 Apr 2021 at 15:32, David Duarte <nh...@gm...> wrote:
> >
> > Because the fixing date for that coupon is 29.01.2018 and you specified 0 for that fixing...
> >
> > Try changing this line, and the first coupon will have the rate you input:;
> >
> > myindex.addFixing(Date(29, 1, 2018), 0.0, True)
> >
> > On Mon, 5 Apr 2021 at 10:58, Brian Smith <bri...@gm...> wrote:
> >>
> >> 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...
> >> >> >> >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >> >>
> >> >>
> >> >> _______________________________________________
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