Re: [Quantlib-users] Discount Factors Error

[Mike D. <mik...@gm...>]

Peter, 12/26/2019 might be a good test for the logic. In USD the market is
open even though it’s a fixing holiday in the UK (Boxing Day). Spot date is
12/30/2019 for that trade date, and the fixing used for the first 3mL
period is the one from 12/24/2019. Is that the kind of example you are
looking for?

-Mike

On Fri, Dec 27, 2019 at 11:07 Peter Caspers <pca...@gm...> wrote:

> Hi Goutham,
>
> can I ask which version of QL you are using and of which kind of rate
> helper (Deposit, Swap, …) is failing for you? A while back a change was
> introduced that would adjust the reference date (i.e. the “trade date”) of
> the helpers to a business day w.r.t. the instrument’s index fixing
> calendar. The aim was to avoid situations like the below where a past
> fixing is required for curve bootstrapping, so it would be interesting to
> see whether you have a case where this does not work as expected.
>
> On another note, I’d be interested in reviewing this logic again, since I
> am not sure that this corresponds to actual market practice? What I heard
> from a trader is that at least for specific swaps a) you can trade them on
> fixing holidays and b) the start date is calculated from the trade date
> which results in a first float period with a fixing date before the horizon
> date (i.e. exactly what QL did before the “fix”). I’d need to confirm this
> more systematically, but maybe someone on the list knows about this in more
> detail?
>
> If you are using an older version of QL where the reference date
> adjustment was not yet applied the appropriate fix would be to just provide
> the missing historical fixing from the error message.
>
> Best Regards,
> Peter
>
> On 27 Dec 2019, at 11:41, David Duarte <nh...@gm...> wrote:
>
> Goutham,
>
> Why are you using the Euribor6M Index for an instrument in INR?
>
> There are some indexes with predefined conventions but you can define your
> own. Here is an example to try to make this clear.
> I am checking the properties of some predefined indexes and in the last
> case I am creating my own (I don't know the conventions for indian rupee
> indexes).
>
> import QuantLib as ql
> import pandas as pd
> index_data = []
> indexes = [
>     ql.Euribor6M(),
>     ql.Euribor3M(),
>     ql.USDLibor(ql.Period('6M')),
>     ql.USDLiborON(),
>     ql.Libor('MyIndex', ql.Period('6M'), 2, ql.INRCurrency(), ql.India(),
> ql.Actual360())
> ]
> properties = ['familyName', 'currency', 'dayCounter', 'tenor',
> 'endOfMonth', 'fixingCalendar', 'fixingDays']
> for index in indexes:
>     index_data.append({prop: eval(f"index.{prop}()") for prop in
> properties})
> pd.DataFrame(index_data)
>
>
> In your particular case, if you are using Euribor6M as the index which has
> the TARGET fixing calendar, you can check for the holidays in December with
> this snippet:
>
> calendar = ql.TARGET()
> calendar.holidayList(ql.TARGET(), ql.Date(1,12,2019), ql.Date(31,12,2019))
>
>
> which would show >>>> (Date(25,12,2019), Date(26,12,2019))
>
> So if you have a swap starting 27.12.2019 with this calendar, it would
> expect a fixing on the 23.12.2019 for an index with 2 settlementdays .
>
>
>
>
>
> On Fri, 27 Dec 2019 at 05:40, Goutham Mahesh <gou...@gm...>
> wrote:
>
>> Dear David,
>>
>> So the thing is 23rd is not a holiday here in India and I am still
>> receiving the error. When i use the United States calendar, the same error
>> is coming except for one difference: Euribor 3M fixing is not there for *24th
>> December. *Don't know why this error is coming, as both of these dates
>> in India and the US the markets were open. Would be good to hear back from
>> you, if you want some more information i can attach parts of the code.
>>
>> Thank You,
>> Best,
>> Goutham
>>
>> On Thu, Dec 26, 2019 at 8:28 PM David Duarte <nh...@gm...> wrote:
>>
>>> 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
>>>> _______________________________________________
>>>> QuantLib-users mailing list
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>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>>
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