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

[Luigi B. <lui...@gm...>]

If you want to filter the past cash flows out, you can write something like:

    remaining_cashflows = [ cf for cf in floatingleg if not
cf.hasOccurred() ]

Hope this helps,
    Luigi


On Sat, Nov 20, 2021 at 12:16 PM Goutham Mahesh <gou...@gm...>
wrote:

> 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
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