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From: Goutham M. <gou...@gm...> - 2019-12-26 12:20:57
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Hi,
So I am calculating discount factors for INR and USD using bootstrapping.
My code has been working fine so far and is giving me discount actors for
all previous dates. But specifically for the date of 24th December 2019, I
am receiving the following error:
Traceback (most recent call last):
File "discount_factor_hardcode_test.py", line 101, in <module>
print("",depoFuturesSwapCurve.dates())
File
"/usr/local/lib/python3.5/dist-packages/QuantLib_Python-1.15-py3.5-linux-x86_64.egg/QuantLib/QuantLib.py",
line 20084, in dates
return _QuantLib.PiecewiseFlatForward_dates(self)
RuntimeError: 1st iteration: failed at 3rd alive instrument, pillar
December 27th, 2021, maturity December 27th, 2021, reference date December
27th, 2019: 2nd leg: Missing Euribor6M Actual/360 fixing for December 23rd,
2019
Can someone help me with this as I am lost and have no clue how to fix it.
Thank You,
Best,
Goutham
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