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

[Arun K. S. <aru...@gm...>]

If your purpose is to calculate Sensitivities, you may have a look into
Quantlib Python Cookbook by Luigi and Gautham Balaraman. They have a ready
to use example of how to bump term structure to calculate sensitivities for
Floating rate bonds.

Thanks,

On Sun, 11 Apr 2021 at 20:13, jian Xu <jia...@gm...> wrote:

> 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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> > > >>
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>
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