Re: [Quantlib-users] (no subject)

[Sumit S. <su...@mo...>]

Thanks Pedro. However, the above line gives me this error:-

  def __init__(self, *args):
>       this = _QuantLib.new_YieldTermStructureHandle(*args)
E       NotImplementedError: Wrong number or type of arguments for
overloaded function 'new_YieldTermStructureHandle'.
E         Possible C/C++ prototypes are:
E           Handle< YieldTermStructure >::Handle(boost::shared_ptr<
YieldTermStructure > const &)
E           Handle< YieldTermStructure >::Handle()

..\..\..\Anaconda3\envs\pricer-end\lib\site-packages\QuantLib\QuantLib.py:5719:
NotImplementedError

On Fri, 27 Dec 2019 at 14:13, Pedro Coelho <coe...@gm...> wrote:

> 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
>>>
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>

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