Re: [Quantlib-users] How to get the index from a floating rate bond in Python?

[jian Xu <jia...@gm...>]

Can anyone help here?  I think I'm already very close.  There ought to
be a way to bump the index, either buy relink it to a bumped curve, or
by some other means.  This should be a common practice when we want to
calculate the interest rate sensitivity of a floating rate bond,
shouldn't it?

Thanks.

On Fri, Apr 9, 2021 at 2:49 PM jian Xu <jia...@gm...> wrote:
>
> But after I get the index, how to bump the index?  What I'm trying to
> do is to calculate the cashflows when the index curve is bumped up,
> say 0.0001, in parallel.  I have the floating rate bond already
> constructed, then
>
> bond = ql.FloatingRateBond(...)
> cpn = ql.as_floating_rate_coupon(bond.cashflows()[0])
> ibor = ql.as_iborindex(cpn.index())
> forecast_curve = ibor.forwardingTermStructure()
>
> But how do I bump the forecast_curve?  I can create a bumped forecast
> curve like the following:
>
> forecast_curve_bumped = ql.ZeroSpreadedTermStructure(forecast_curve,
> ql.QuoteHandle(ql.SimpleQuote(.0001)))
>
> But then how do I link the index to this bumped curve, so that the
> bond's cashflow will be impacted?  Thanks.
>
>
> On Fri, Apr 9, 2021 at 11:57 AM jian Xu <jia...@gm...> wrote:
> >
> > I see.  Thanks!
> >
> > On Fri, Apr 9, 2021 at 4:31 AM Luigi Ballabio <lui...@gm...> wrote:
> > >
> > > As David said — or you can avoid the map by selecting the first coupon before conversion:
> > >
> > > c = ql.as_floating_rate_coupon(bnd.cashflows()[0])
> > > myindex = c.index()
> > >
> > >
> > > On Fri, Apr 9, 2021 at 10:25 AM David Duarte <nh...@gm...> wrote:
> > >>
> > >> Hi,
> > >>
> > >> I'm not sure the index is exposed for the bond object, but you can extract it from the cashflows.
> > >> Maybe not the easiest way to go about it, but hopefully you'll get the idea:
> > >>
> > >> bnd = ql.FloatingRateBond(...)
> > >> c = [*map(ql.as_floating_rate_coupon, bnd.cashflows())][0]
> > >> myindex = c.index()
> > >>
> > >> Regards,
> > >> David
> > >>
> > >> On Fri, 9 Apr 2021 at 03:03, jian Xu <jia...@gm...> wrote:
> > >>>
> > >>> Hi,
> > >>>
> > >>> An index is passed in duration the construction of a FloatingRateBond,
> > >>>  But after that, given the FloatingRateBond object, how do I get the
> > >>> index back (in Python)?  Thanks.
> > >>>
> > >>> Jian
> > >>>
> > >>>
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