[Quantlib-users] ZeroSpreadedTermStructure error

[Ben W. <ben...@ma...>]

I am pricing some FRN’s and struggling to get code block below work. 

 

The error on the line zsts=ql.ZeroSpreadedTermStructure(self.fc,tm) and
what I get back is;

 

Exception is: Wrong number or type of arguments for overloaded function
'new_ZeroSpreadedTermStructure'.

  Possible C/C++ prototypes are:

    ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<
YieldTermStructure > const &,Handle< Quote > const
&,Compounding,Frequency,DayCounter const &)

    ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<
YieldTermStructure > const &,Handle< Quote > const &,Compounding,Frequency)
ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<
YieldTermStructure > const &,Handle< Quote > const &,Compounding)

    ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<
YieldTermStructure > const &,Handle< Quote > const &)

 

However self.fc is type <class
'QuantLib.QuantLib.RelinkableYieldTermStructureHandle'> 

and tm is <class 'QuantLib.QuantLib.SimpleQuote'>

 

I have tried with a regular non-linkable <class
'QuantLib.QuantLib.YieldTermStructureHandle'> and still get the same error.

 

Any ideas on what is going on??? By the looks of it the error message maybe
misleading.

 

 

 def calc_dm(self,price):

 

        @timeit

        def FairDM(spread):

            tm = ql.SimpleQuote(spread/10000)

            print(type(self.fc),type(tm))

            zsts=ql.ZeroSpreadedTermStructure(self.fc,tm)

            self.dc.linkTo(zsts)

            cp=self.frn.cleanPrice()

            return price-cp

        

        accuracy = 1e-1

        guess =300

        step = 0.1

        

        self.frn.setPricingEngine(ql.DiscountingBondEngine(self.dc))

        self.fc.linkTo(self.projection_curve)

        

        FairSpread=ql.Brent().solve(FairDM, accuracy, guess, step)

        self.dm_spread= FairSpread