[Quantlib-users] Unable to calculate DM for Floating rate note with a floor

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

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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