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

SourceForge Headquarters 1320 Columbia Street Suite 310 San Diego, CA 92101 +1 (858) 422-6466

The coupon payment amounts are based on the projected Euribor6M reset
rates.
 5% was added as the fixing for 29-Jan-2018. The next reset rate was
projected based on the zero curve.

myindex.fixing(Date(27,7,2018))
Out[69]: 0.050644366225002097

myindex.fixing(Date(27,7,2018))*Actual360().yearFraction(spots[1],
spots[2]) * 100
Out[72]: 2.5884898292778846

The coupon amount of  2.5884898292778846 is based on the projected rate
fixing on 27-Jul-2018.

df1 = curveHandle.discount(Date(31,7,2018))
df2 = curveHandle.discount(Date(31,1,2019))
accrual_factor = Actual360().yearFraction(Date(31,7,2018),Date(31,1,2019))
fwd_rate = ((df1/df2)-1)/accrual_factor

fwd_rate
Out[104]: 0.050644366225002097

On Tue, Apr 6, 2021 at 2:17 PM Brian Smith <bri...@gm...>
wrote:

> 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
> > >> >>
> > >> >>
> > >> >> _______________________________________________
> > >> >> QuantLib-users mailing list
> > >> >> Qua...@li...
> > >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>