Re: [Quantlib-users] ZeroSpreadedTermStructure error

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

Hello Ben,
    short answer - tm should be a handle too, as in:

    tm = ql.QuoteHandle(ql.SimpleQuote(spread/10000))

Luigi


On Wed, Dec 7, 2022 at 8:37 AM Ben Watson <ben...@ma...>
wrote:

> 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
>
>
>
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