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

[Luigi B. <lui...@gm...>]

Hello,
    the term structure that you can retrieve from the index can't be
relinked.  Instead, you should keep hold of the one you originally used to
build the index and bump that one.  The index will react accordingly.

Hope this helps,
    Luigi


On Sun, Apr 11, 2021 at 4:42 PM 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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