Re: [Quantlib-users] Discount Factors Error

[David D. <nh...@gm...>]

Hi,

Seem like QuantLib is expecting one of your instruments (looks like 2y
swap) to have a Euribor6M fixing on the 23rd of December.
You should check your calendars because if start date is 27.12 and you have
holidays on the 24th and 25th of Dec, then the fixing would be 23.

If you manually add the fixing, the error would probably go away

index.addFixing(ql.Date(23, 12, 2019), -0.00339)

but I don't think that is what you want because since you are bootstrapping
INR and USD you should use another index with the appropriate calendars.

Hope that helps

On Thu, 26 Dec 2019 at 12:23, Goutham Mahesh <gou...@gm...>
wrote:

> 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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