Re: [Quantlib-users] Recalculating Floating Leg Swap Cash Flows at a later da

[Charles A. <ch...@al...>]

I would use a vector of cash flow dates in conjunction with your vector of
cash flows and then filter with dates being greater than your evaluation
date.

On Tue, Nov 16, 2021 at 10:54 PM Goutham Mahesh <gou...@gm...>
wrote:

> Hi All,
>
> This is the scenario:
>
> I have computed the floating leg for and IRS as follows:
> floatingleg = IborLeg(data, SwapSchedule, index, Actual360(),
> ModifiedFollowing, fixingDays=[0], gearings=[1], spreads = [0])
>
> The SwapSchedule is a schedule set for 3 years with quarterly payments,
> therefore there are 12 floating leg payments for the swap.
>
> "data" is a list of 12 nominals for each of the 12 floating leg cash flows
> .
> data = [1000000, 1000000, 1000000, 1000000, 1000000, 869565, 739130,
> 608695, 478260, 347826, 217391, 86956]
>
> Let us say now that 1 year and 4 cash flow dates have passed. I have to
> re-calculate the floating leg.
> The "data" list now has 8 nominals to reflect the 8 remaining cash flow
> dates.
> data = [1000000, 869565, 739130, 608695, 478260, 347826, 217391, 86956]
>
> My doubt is regarding how to recalculate my floating leg, and if I should
> use a new SwapSchedule or a new index.
>
> For building the SwapSchedule I have currently used the original
> date(old_date) and original maturity_date because I do not want the cash
> flow dates to change.
>
> As for the index I have done:
> Settings.instance().evaluationDate = new_date
> I have built the index using the methodology in the python cookbook
> quantlib IRS example.
>
> The code is running in this situation but the floating leg is still
> returning 12 cash flows, whereas I want to return only 8 cash flows to
> reflect the 8 remaining payments of the floating leg.
>
> --
>
> Any help will be appreciated as I have been trying really hard to figure
> this problem out. If you require more info as to how I built the index I
> will send that as well.
>
> Thank you,
> Goutham
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