quantlib.instruments.bonds.floatingratebond.FloatingRateBond

class FloatingRateBond(Natural settlement_days, Real face_amount, Schedule schedule, IborIndex ibor_index, DayCounter accrual_day_counter, Natural fixing_days=Null[Natural](), vector[Real] gearings=[1.], vector[Spread] spreads=[0.], vector[Rate] caps=[], vector[Rate] floors=[], BusinessDayConvention payment_convention=Following, bool in_arrears=False, Real redemption=100.0, Date issue_date=Date(), Period ex_coupon_period=Period(), Calendar ex_coupon_calendar=Calendar(), BusinessDayConvention ex_coupon_convention=Unadjusted, bool ex_coupon_end_of_month=False)

Bases: Bond

Floating rate bond

__init__()

Floating rate bond

Parameters:

• settlement_days (int) – Number of days before bond settles

• face_amount (float (C double in python)) – Amount of face value of bond

• float_schedule (Schedule) – Schedule of payments for bond

• ibor_index (IborIndex) – Ibor index

• accrual_day_counter (DayCounter) – dayCounter for Bond

• fixing_days (int) – Number of fixing days for bond

• gearings (list [float]) – Gearings defaulted to [1.]

• spreads (list [float]) – Spread on ibor index, default to [0.]

• caps (list [float]) – Caps on the spread

• floors (list[float]) – Floors on the spread

• payment_convention (BusinessDayConvention) – The business day convention for the payment schedule

• in_arrears (bool)

• redemption (float) – Amount at redemption

• issue_date (Date) – Date bond was issued

• ex_coupon_period (Period)

• ex_coupon_calendar (Calendar)

• ex_coupon_convention (BusinessDayConvention)

• ex_coupon_end_of_month (bool)

Methods

__init__	Floating rate bond
accrued_amount(self, Date date=Date)	Returns the bond accrued amount at the given date
bond_yield(self, Real price, DayCounter dc, ...)	Return the yield given a price and settlement date
notional(self, Date date=Date)
set_pricing_engine(self, PricingEngine engine)	Sets the pricing engine.
settlement_date(self, Date from_date=Date)	Returns the bond settlement date after the given date.

Attributes

calendar
cashflows	cash flow stream as a Leg
clean_price	Bond clean price.
dirty_price	Bond dirty price
is_expired
issue_date	Bond issue date
maturity_date	Bond maturity date
net_present_value	Instrument net present value.
npv	Shortcut to the net_present_value property.
settlement_days
start_date	Bond start date
valuation_date