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

[Goutham M. <gou...@gm...>]

Hi all,

Luigi - Ok I understood that. But I am actually not trying to pass the
resulting leg into a function like swap.NPV, instead I want to enumerate
the cash flows from swap.leg(floatingleg).  When I do this I am still
receiving all the Cash Flows(based on the full schedule) and not the ones
that I need to reflect the new date. My goal is to pass the floating leg
cash flows into a list.

Charles - What do you mean by that? Sorry, I did not understand.

Thank you all,
Best,
Goutham

On Thu, Nov 18, 2021 at 4:55 PM Charles Allderman <ch...@al...>
wrote:

> 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
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>