Re: [Quantlib-users] Unable to calculate DM for Floating rate note with a floor - Please Ignore!!

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

Found Luigi's suggestion here...

https://www.google.com/url?sa=t&source=web&rct=j&url=https://stackoverflow.com/questions/42195781/using-quantlib-to-compute-cash-flows-for-floatingratebond-with-floor&ved=2ahUKEwiRp6CLsdXrAhWEM-wKHQuMBCYQjjgwAHoECAsQAQ&usg=AOvVaw0IgfRAK7_x9qLg-l55bDbb

On Sun, 6 Sep 2020, 21:16 Sumit Sengupta, <su...@mo...> wrote:

> Hi all,
>
>   I am trying to price a Floating rate note (as per the quantlib python cookbook).
>
>   It seems to fail whenever I put a *floor = [0], * with the error...
>
> Traceback (most recent call last):
>   File "C:/Users/sumit/.PyCharm2018.3/config/scratches/scratch_48.py", line 88, in calc_bond_price
>     return (bond.cleanPrice() - price)**2
>   File "C:\Users\sumit\Anaconda3\envs\msq-360-plus\lib\site-packages\QuantLib\QuantLib.py", line 16229, in cleanPrice
>     return _QuantLib.Bond_cleanPrice(self, *args)
> RuntimeError: pricer not set
>
> Note that it fails when I try to fit a discount margin spread over my discount rate curve
>
> *My code is as below....*
>
> forecast_curve = ql.RelinkableYieldTermStructureHandle()
> discount_curve = ql.RelinkableYieldTermStructureHandle()
>
> term_structure_handle, index = generate_swaps_market_data()
> index.addFixing(ql.Date(16, 7, 2020), 0/100)
>
> forecast_curve.linkTo(ql.ZeroSpreadedTermStructure(term_structure_handle, ql.QuoteHandle(ql.SimpleQuote(0.))))
>
> issue_date = ql.Date(19, 1, 2001)
> maturity_date = ql.Date(19, 1, 2031)
>
> schedule = ql.Schedule(issue_date, maturity_date,ql.Period(ql.Quarterly), ql.TARGET(),
>                        ql.Following, ql.Following,ql.DateGeneration.Backward, False)
>
> bond = ql.FloatingRateBond(settlementDays = 2,faceAmount = 100,schedule = schedule,
>                            index = index,paymentDayCounter = ql.Actual360(),
>                            paymentConvention = ql.Following, fixingDays = index.fixingDays(),gearings = [],
>                            spreads = [0.3/10000],caps= [],*floors = [0]*,inArrears = False,redemption = 100.0,issueDate = issue_date
>                            )
>
> bond.setPricingEngine(ql.DiscountingBondEngine(discount_curve))
>
> DM = ql.SimpleQuote(0.0)
> discount_curve.linkTo(ql.ZeroSpreadedTermStructure(forecast_curve,ql.QuoteHandle(DM)))
>
> price=88.466
>
> def calc_bond_price(param):
>     s = param[0]
>     DM.setValue(s)
>     return (bond.cleanPrice() - price)**2
>
> x0=0.0003
> bounds=[[-1000, 1000]]
> res = minimize(calc_bond_price, x0, bounds=bounds)
> print(f"DM:{res.x[0]*10000}")
>
> DM.setValue(res.x[0])
> print(f"clean price:{bond.cleanPrice()}")
>
>
> --
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