Second Fixing Different to Second Rate

Posted by KK on Oct 06, 2014; 5:17pm
URL: http://quantlib.414.s1.nabble.com/Second-Fixing-Different-to-Second-Rate-tp15938.html

Hi

Apologies for repost, but the last comment by Pascal was extremely helpful and made the problem easier to explain.

Is there any reason why when I cast the floating leg to coupons, I get a rate that is different from the second fixing. This code extracts all the elements of the calc - eg day count/period etc and the second fixing is listed as

0.0360560874576

while the rate used to calculate the second cashflow is

0.0360614343399

For what it is worth, the second number looks right if you bootstrap by hand.

basically index.fixing(floatingSchedule[1]) does not equal as_coupon(cashflow).rate()


from QuantLib import *
from datetime import date
def makeQLdatePydate(s_date):
    return date(s_date.year(),s_date.month(),s_date.dayOfMonth())

calendar = UnitedKingdom()
todaysDate = Date(7,January,2013);
Settings.instance().evaluationDate = todaysDate
settlementDate = Date(7,January,2013);

# market quotes
deposits = { (3,Months): 0.0363,
             (6,Months): 0.0353,
             (12,Months): 0.036,
             (18,Months): 0.036 }




for n,unit in deposits.keys():
    deposits[(n,unit)] = SimpleQuote(deposits[(n,unit)])


dayCounter = Actual365Fixed()
settlementDays = 0
depositHelpers = [ DepositRateHelper(QuoteHandle(deposits[(n,unit)]),
                                     Period(n,unit), settlementDays,
                                     calendar, ModifiedFollowing,
                                     False, dayCounter)
                   for n, unit in  deposits.keys()  ]



settlementDays = 0
#fixedLegFrequency = Semiannual
#fixedLegTenor = Period(6,Months)
#fixedLegAdjustment = Unadjusted
#fixedLegDayCounter = Actual365Fixed()

floatingLegFrequency = Semiannual
floatingLegTenor = Period(6,Months)
floatingLegAdjustment = ModifiedFollowing




discountTermStructure = RelinkableYieldTermStructureHandle()
forecastTermStructure = RelinkableYieldTermStructureHandle()


helpers = depositHelpers

depoSwapCurve = PiecewiseFlatForward(settlementDate, helpers,Actual365Fixed())


swapEngine = DiscountingSwapEngine(discountTermStructure)

discountTermStructure.linkTo(depoSwapCurve)
forecastTermStructure.linkTo(depoSwapCurve)



nominal=1000000
length = 1
maturity = calendar.advance(settlementDate,length,Years)

#
index = GBPLibor(floatingLegTenor,forecastTermStructure)

floatingLegDayCounter = index.dayCounter()


floatingSchedule = Schedule(settlementDate, maturity,
                            floatingLegTenor, calendar,
                            floatingLegAdjustment, floatingLegAdjustment,
                            DateGeneration.Backward, False)


nominals =[nominal for x in floatingSchedule]
 
   

floatingrates = IborLeg(nominals[:-1],floatingSchedule,index,dayCounter)


print "Reset for calculating second cashflow"
print index.fixing(floatingSchedule[1])
print "Start date for calculating second cashflow"
print floatingSchedule[1]
print "End date for calculating second cashflow"
print floatingSchedule[2]
print "Days"
print float((makeQLdatePydate(floatingSchedule[2])-makeQLdatePydate(floatingSchedule[1])).days)
print "Days/365"
print float((makeQLdatePydate(floatingSchedule[2])-makeQLdatePydate(floatingSchedule[1])).days)/365.0
print "Second Cashflow from floatingSchedule = nominal * rate * Days/365"
print nominal*index.fixing(floatingSchedule[1])* float((makeQLdatePydate(floatingSchedule[2])-makeQLdatePydate(floatingSchedule[1])).days)/365.0

print "Second cashflow from IborLeg and from simple bootstrapping"
print floatingrates[1].date(),floatingrates[1].amount()


for cashflow in floatingrates:
        coupon = as_coupon(cashflow)
        print "Date: " + str(coupon.date()) +", Amount: " + str(coupon.amount()) +    ", Accrual period: " + str(coupon.accrualPeriod())
        print "Date: " + str(coupon.date()) +", accrualStartDate: " + str(coupon.accrualStartDate()) +    ", accrualEndDate: " + str(coupon.accrualEndDate())
        print "Date: " + str(coupon.date()) +", rate: " + str(coupon.rate())
        print "Date: " + str(coupon.date()) +", nominal: " + str(coupon.nominal())
        print "Date: " + str(coupon.date()) +", referencePeriodStart: " + str(coupon.referencePeriodStart()) +    ", referencePeriodEnd: " + str(coupon.referencePeriodEnd())
        print "Date: " + str(coupon.date()) +", accrualDays: " + str(coupon.accrualDays())