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

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

Hi,

Ok I will try this out and update.

Best,
Goutham


On Sat, Nov 20, 2021, 16:28 Luigi Ballabio <lui...@gm...> wrote:

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