Re: [Quantlib-users] (no subject)

[Pedro C. <coe...@gm...>]

Just a typo, I forgot the QLZeroCurve in the statement below:

zc_extrapolated = YieldTermStructureHandle(self.z_discurve_1.QLZeroCurve)


Em sex., 27 de dez. de 2019 às 11:11, Pedro Coelho <coe...@gm...>
escreveu:

> Hi Sumit,
>
> Just write as the below:
>
> # enableExtrapolation returns nothing, so you just have to call it alone
>
> self.z_discurve_1.QLZeroCurve.enableExtrapolation()
>
> # Than pass the curve to a Handle, in this case the YieldTermStructureHandle
>
> zc_extrapolated = YieldTermStructureHandle(self.z_discurve_1)
>
> engine = ql.DiscountingSwapEngine(zc_extrapolated)
>
>
> Regards,
>
> Pedro Coelho
>
>
>
> Em sex., 27 de dez. de 2019 às 10:54, Sumit Sengupta <
> su...@mo...> escreveu:
>
>> Hi,
>>
>>   I have a 50y swap which I am trying to price using a ZeroCurve that I've fitted. However, the maturity of my zero curve is for *30Y.*
>>
>> Hence I modify the below statement....
>>
>> engine = ql.DiscountingSwapEngine(self.z_discurve_1.QLZeroCurve)
>> self.QL_Swap1.setPricingEngine(engine)
>>
>> to
>>
>> zc_extrapolated = self.z_discurve_1.QLZeroCurve.enableExtrapolation()
>>
>> engine = ql.DiscountingSwapEngine(*zc_extrapolated*)
>> self.QL_Swap1.setPricingEngine(engine)
>>
>> However, the ql.DiscountingSwapEngine(...) line gives me an error:-
>>
>> def __init__(self, *args):
>> >       this = _QuantLib.new_DiscountingSwapEngine(*args)
>> E       ValueError: invalid null reference in method 'new_DiscountingSwapEngine', argument 1 of type 'Handle< YieldTermStructure > const &'
>>
>> Any help on how to correctly extrapolate my ZeroCurve would be
>> appreciated.
>>
>>
>> Thanks,
>>
>> Sumit
>>
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>