Re: [Quantlib-users] Bonds I-Spread

[Michael (D. portal) <mi...@da...>]

On Fri, Sep 15, 2023, 12:57 PM Michael (DataDriven portal) <
mi...@da...> wrote:

> Hi Ben:
>
> Thanks a lot. I will use that. I am also wondering if WAL (weighted
> average life) for a bond is calculated by QuantLib (I could not find it in
> the documentation) which is defined here:
> https://www.investopedia.com/terms/w/weightedaveragelife.asp.
>
> Thanks,
>
> Michael
>
> On Thu, Sep 14, 2023 at 4:32 PM Ben Watson <ben...@ma...>
> wrote:
>
>>
>>
>> This is from the  python documentation
>>
>>
>> import QuantLib as ql
>> import numpy as np
>> import matplotlib.pyplot as plt
>>
>> X = [1., 2., 3., 4., 5.]
>> Y = [0.5, 0.6, 0.7, 0.8, 0.9]
>>
>> methods = {
>>     'Linear Interpolation': ql.LinearInterpolation(X, Y),
>>     'LogLinearInterpolation': ql.LogLinearInterpolation(X, Y),
>>     'CubicNaturalSpline': ql.CubicNaturalSpline(X, Y),
>>     'LogCubicNaturalSpline': ql.LogCubicNaturalSpline(X, Y),
>>     'ForwardFlatInterpolation': ql.ForwardFlatInterpolation(X, Y),
>>     'BackwardFlatInterpolation': ql.BackwardFlatInterpolation(X, Y),
>>     'LogParabolic': ql.LogParabolic(X, Y)
>> }
>>
>> xx = np.linspace(1, 10)
>> fig = plt.figure(figsize=(15,4))
>> plt.scatter(X, Y, label='Original Data')
>> for name, i in methods.items():
>>     yy = [i(x, allowExtrapolation=True) for x in xx]
>>     plt.plot(xx, yy, label=name);
>> plt.legend();
>>
>> On Fri, 15 Sept 2023, 4:34 am Michael (DataDriven portal), <
>> mi...@da...> wrote:
>>
>>> Hi All,
>>>
>>> I am looking for some QuantLib examples on how to calculate bond's I
>>> spread that match Bloomberg calculations (as described below).
>>>
>>> Any help is greatly appreciated!
>>>
>>> Bloomberg's I-spread is calculated like this: find the 2 swap rate
>>> quotes nearest the bond maturity. Linearly interpolate to get the swap rate
>>> at the bond's maturity. (Unless you happen to have a swap rate quote
>>> exactly at the bond's maturity.) I-spread = interpolated swap rate - the
>>> bond's conventional yield
>>>
>>> Thanks,
>>>
>>> Michael
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>