Re: [Quantlib-users] (no subject)

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

hi Pedro,

  I found the issue. I was initialising the ZeroCurve and then , later,
updating it during the curve fitting process.

  Hence, I had to set the enableExtrapolate() in 2 places - one during the
init phase and second time whilst I update the ZeroCurve.

 I actually thought just initialising the ZeroCurve with the
enableExtrapolate() should suffice - but clearly that wasn;t the case.

Thanks a lot for your prompt help!!

Regards
Sumit

On Fri, 27 Dec 2019 at 14:23, Pedro Coelho <coe...@gm...> wrote:

> Hum... Hard to know what happened without the full code. Can you send an
> example of what are you doing?
>
> Em sex, 27 de dez de 2019 às 11:21, Sumit Sengupta <
> su...@mo...> escreveu:
>
>> 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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>>
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>>
>

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