[Quantlib-users] QuantLib - nagitive time given.

[Lasha D. <las...@gm...>]

Hi I Have a problem with QuantLib C# Wrapper,
There is code snippet,

Please help me :)

DateTime date = DateTime.Parse("9/30/2022");

            var dSettlementDate = new Date(date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy");
            Settings.instance().setEvaluationDate(dSettlementDate);
            var spot_dates = new DateVector();
            var spot_rates = new DoubleVector();

            //spot_dates.Add(new
Date(DateTime.Parse("9/30/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            //spot_rates.Add((double)10.6372 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/01/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.6372 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/2/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.6372 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/8/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.6372 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/15/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.6079 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/31/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.5428 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("12/1/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.4244 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("12/31/2022").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.3189 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("3/31/2023").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.0451 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/1/2023").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)9.6805 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/1/2024").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)9.3918 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/1/2027").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)9.6234 / 100.0);

            spot_dates.Add(new
Date(DateTime.Parse("10/1/2032").Date.ToString("dd/MM/yyyy"),
"dd/mm/yyyy"));
            spot_rates.Add((double)10.0937 / 100.0);

            var curveDayCounter = new Actual365Fixed();
            var curveCalendar = new NullCalendar();
            var curveInterpolation = new Linear();
            var curveCompounding = Compounding.Compounded;
            var curveFrquency = Frequency.Semiannual;
            var spot_curve = new ZeroCurve(spot_dates, spot_rates,
curveDayCounter, curveCalendar, curveInterpolation, curveCompounding,
curveFrquency);
            var spot_curve_handle = new
YieldTermStructureHandle(spot_curve);

            var engine = new DiscountingBondEngine(spot_curve_handle);

            DateTime startDate = DateTime.Parse("11/18/2021");
            DateTime endDate = DateTime.Parse("9/27/2023");
            DateTime paymentDate = DateTime.Parse("9/30/2022");

            Settings.instance().setEvaluationDate(new
Date(startDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"));
            Calendar calendarQ = new WeekendsOnly();

            Frequency frquency = Frequency.Semiannual;

            DayCounter dayCounter = new
ActualActual(ActualActual.Convention.ISMA);

            Schedule schedule = new Schedule(new
Date(startDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"),
                                    new
Date(endDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"),
                                    new Period(frquency),
                                    calendarQ,
                                    BusinessDayConvention.Unadjusted,
                                    BusinessDayConvention.Unadjusted,
                                    DateGeneration.Rule.Backward,
                                    false);

            var bond = new FixedRateBond(0, //settlementDays,
                                           100.0,
                                           schedule,
                                           new DoubleVector(1) { 0.07375 },
                                           dayCounter,
                                           BusinessDayConvention.Unadjusted,
                                           100.0

                                           );

            bond.setPricingEngine(engine);

            Settings.instance().setEvaluationDate(new
Date(paymentDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"));
            var CleanPrice = bond.NPV();

            Console.WriteLine(CleanPrice);