The cash flows of FloatingRateBond are different from my expectation #305
Description
If the curve is flat.
import QuantLib as ql
import prettytable as pt
from datetime import date
print(ql.__version__)
'''
1.19
'''
today = ql.Date(28, ql.July, 2020)
ql.Settings.instance().evaluationDate = today
settlementDays = 1
faceAmount = 100.0
effectiveDate = ql.Date(9, ql.June, 2020)
terminationDate = ql.Date(9, ql.June, 2025)
tenor = ql.Period(ql.Quarterly)
calendar = ql.China(ql.China.IB)
convention = ql.Unadjusted
terminationDateConvention = convention
rule = ql.DateGeneration.Backward
endOfMonth = False
schedule = ql.Schedule(
effectiveDate,
terminationDate,
tenor,
calendar,
convention,
terminationDateConvention,
rule,
endOfMonth)
nextLpr = 4.0 / 100.0
fixedLpr = 4.0 / 100.0
compounding = ql.Compounded
frequency = ql.Quarterly
accrualDayCounter = ql.ActualActual(ql.ActualActual.Bond, schedule)
dayCounter = ql.ActualActual(ql.ActualActual.Bond, schedule)
paymentConvention = ql.Unadjusted
fixingDays = 1
gearings = ql.DoubleVector(1, 1.0)
spreads = ql.DoubleVector(1, 0.0 / 100.0)
lprTermStructure = ql.YieldTermStructureHandle(
ql.FlatForward(
settlementDays,
calendar,
nextLpr,
dayCounter,
compounding,
frequency))
lpr3m = ql.IborIndex(
'LPR1Y',
ql.Period(ql.Quarterly),
settlementDays,
ql.CNYCurrency(),
calendar,
convention,
endOfMonth,
dayCounter,
lprTermStructure)
lpr3m.addFixing(ql.Date(8, ql.June, 2020), fixedLpr)
bond = ql.FloatingRateBond(
settlementDays,
faceAmount,
schedule,
lpr3m,
accrualDayCounter,
convention,
fixingDays,
gearings,
spreads)
cfTab = pt.PrettyTable(['Date', 'Amount'])
for c in bond.cashflows():
dt = date(
c.date().year(),
c.date().month(),
c.date().dayOfMonth())
cfTab.add_row([dt, c.amount()])
print(cfTab)
'''
1.19
+------------+--------------------+
| Date | Amount |
+------------+--------------------+
| 2020-09-09 | 1.0 |
| 2020-12-09 | 1.0000000000000009 |
| 2021-03-09 | 1.0000000000000009 |
| 2021-06-09 | 1.0000000000000009 |
| 2021-09-09 | 1.000000000000023 |
| 2021-12-09 | 0.9999999999999787 |
| 2022-03-09 | 1.0000000000000009 |
| 2022-06-09 | 1.0000000000000009 |
| 2022-09-09 | 1.0000000000000009 |
| 2022-12-09 | 1.0000000000000009 |
| 2023-03-09 | 1.0000000000000009 |
| 2023-06-09 | 1.0000000000000009 |
| 2023-09-09 | 1.000109533621161 |
| 2023-12-09 | 1.0000000000000009 |
| 2024-03-09 | 0.9999988095049638 |
| 2024-06-09 | 0.9999458343873505 |
| 2024-09-09 | 0.9999458343873505 |
| 2024-12-09 | 1.0000000000000009 |
| 2025-03-09 | 1.0000541695215703 |
| 2025-06-09 | 0.9999458343873505 |
| 2025-06-09 | 100.0 |
+------------+--------------------+
'''The cash flow at 2023-09-09 is quite different from my expectation, I think it should be 1.0000000000000009.