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

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

Make sense.  So is there a way to change the spread of a
floatingRateBond after the object is constructed?  If yes, then I can
bump the spread up and down to avoid bumping the index up and down.
This should have the same impact, and it won't affect other bonds.

On Mon, Apr 12, 2021 at 9:09 AM Luigi Ballabio <lui...@gm...> wrote:
>
> Jian,
>     the idea behind it is that, if that were possible, one could be given a bond and through that be able to affect any other bonds that use the same index or forecast curve.  We thought that this made it too easy to do the wrong thing without realizing it.
>
> Luigi
>
>
> On Mon, Apr 12, 2021 at 3:30 PM jian Xu <jia...@gm...> wrote:
>>
>> I see.  I know how to use the original curve to calculate the interest
>> rate sensitivity.  But not being able to extract it from the index
>> seems a bit surprising to me.  Because for a fixedRateBond, the IR
>> sensitivity interface is simply
>>
>> def sensitivity(fixedRatebond, y):
>>
>> But for a floating rate bond, it becomes:
>>
>> def sensitivity(floatingRateBond, y, forecast_curve):
>>
>> If we can extract the forecast_curve from the index from the
>> floatingRateBond, then the two API could be unified, which seems more
>> reasonable to me.
>>
>> Jian
>>
>> On Mon, Apr 12, 2021 at 2:24 AM Luigi Ballabio <lui...@gm...> wrote:
>> >
>> > 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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