[Quantlib-users] FixedRateBondHelper

[Capt'n V. <vr...@ho...>]

<meta http-equiv="Content-Type" content="text/html; charset=utf-8"><div dir="auto"><div class="gmail_quote" dir="auto"><blockquote class="quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex"><font face="Calibri" size="2"><span style="font-size:11pt"><div>Hi All,</div>
<div>&nbsp;</div>
<div>I’m trying to construct an yield curve using <a href="https://quantlib-python-docs.readthedocs.io/en/latest/thelpers.html?highlight=FixedRateBondHelper"><font color="blue"><u>FixedRateBondHelper</u></font></a> on real US treasury data and following this
example <a href="https://quant.stackexchange.com/questions/54526/parameter-in-fixedratebondhelper-of-quantlib"><font color="blue"><u>https://quant.stackexchange.com/questions/54526/parameter-in-fixedratebondhelper-of-quantlib</u></font></a>. Here is my reproducible
code: </div>
<div>&nbsp;</div>
<div>`from QuantLib import *</div>
<div>from pandas import DataFrame</div>
<div>import numpy as np</div>
<div>import matplotlib.pyplot as plt</div>
<div>&nbsp;</div>
<div>calc_date = ql.Date(5, 5, 2023)</div>
<div>Settings.instance().evaluationDate = calc_date</div>
<div>&nbsp;</div>
<div>calendar = UnitedStates(UnitedStates.GovernmentBond)</div>
<div>business_convention = Unadjusted</div>
<div>day_count = ql.ActualActual(ql.ActualActual.Bond)</div>
<div>end_of_month = True</div>
<div>settlement_days = 1</div>
<div>face_amount = 100</div>
<div>coupon_frequency = Period(Semiannual)</div>
<div>&nbsp;</div>
<div>&nbsp;</div>
<div>data = [</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-08-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-08-2023',&nbsp;&nbsp;&nbsp; 0.125,&nbsp;&nbsp; 98.43537),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-09-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-09-2023',&nbsp;&nbsp;&nbsp; 0.25,&nbsp;&nbsp;&nbsp; 98.13213),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('01-11-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-10-2023',&nbsp;&nbsp;&nbsp; 0.375,&nbsp;&nbsp; 97.82426),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-11-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-11-2023',&nbsp;&nbsp;&nbsp; 0.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.56833),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-12-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-12-2023',&nbsp;&nbsp;&nbsp; 0.75,&nbsp;&nbsp;&nbsp; 97.36831),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-01-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-01-2024',&nbsp;&nbsp;&nbsp; 0.875,&nbsp;&nbsp; 97.16839),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('28-02-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '29-02-2024',&nbsp;&nbsp;&nbsp; 1.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.35896),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-03-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-03-2024',&nbsp;&nbsp;&nbsp; 2.25,&nbsp;&nbsp;&nbsp; 97.79973),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('02-05-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-04-2024',&nbsp;&nbsp;&nbsp; 2.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.88095),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-05-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-05-2024',&nbsp;&nbsp;&nbsp; 2.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.77523),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-06-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-06-2024',&nbsp;&nbsp;&nbsp; 3.0,&nbsp;&nbsp;&nbsp;&nbsp; 98.2304),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('01-08-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-07-2024',&nbsp;&nbsp;&nbsp; 3.0,&nbsp;&nbsp;&nbsp;&nbsp; 98.21679),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-08-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-08-2024',&nbsp;&nbsp;&nbsp; 3.25,&nbsp;&nbsp;&nbsp; 98.53124),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-09-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-09-2024',&nbsp;&nbsp;&nbsp; 4.25,&nbsp;&nbsp;&nbsp; 99.87726),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-10-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-10-2024',&nbsp;&nbsp;&nbsp; 4.375,&nbsp;&nbsp; 100.14486),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-11-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-11-2024',&nbsp;&nbsp;&nbsp; 4.5,&nbsp;&nbsp;&nbsp;&nbsp; 100.42819),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('03-01-2023',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-12-2024',&nbsp;&nbsp;&nbsp; 4.25,&nbsp;&nbsp;&nbsp; 100.1332),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-01-2023',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-01-2025',&nbsp;&nbsp;&nbsp; 4.125,&nbsp;&nbsp; 100.0258),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('28-02-2023',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '28-02-2025',&nbsp;&nbsp;&nbsp; 4.625,&nbsp;&nbsp; 101.04361),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('15-03-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '15-03-2025',&nbsp;&nbsp;&nbsp; 1.75,&nbsp;&nbsp;&nbsp; 95.98058),</div>
<div>&nbsp;</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ]</div>
<div>helpers = []</div>
<div>&nbsp;</div>
<div>for issue_date, maturity, coupon, price in data:</div>
<div>&nbsp;&nbsp;&nbsp; price = ql.QuoteHandle(ql.SimpleQuote(price))</div>
<div>&nbsp;&nbsp;&nbsp; issue_date = ql.Date(issue_date, '%d-%m-%Y')</div>
<div>&nbsp;&nbsp;&nbsp; maturity = ql.Date(maturity, '%d-%m-%Y')</div>
<div>&nbsp;&nbsp;&nbsp; schedule = ql.MakeSchedule(issue_date, maturity, ql.Period(ql.Semiannual))</div>
<div>&nbsp;&nbsp;&nbsp; helper = ql.FixedRateBondHelper(price, 2, 100, schedule, [coupon / 100], day_count)</div>
<div>&nbsp;&nbsp;&nbsp; helpers.append(helper)</div>
<div>yc = ql.PiecewiseLogCubicDiscount(calc_date, helpers, day_count) `</div>
<div>&nbsp;</div>
<div>which follows the example.&nbsp;&nbsp; However, I’m getting the following error when trying `yc.nodes()`:</div>
<div>`RuntimeError: 1st iteration: failed at 20th alive instrument, pillar March 15th, 2025, maturity March 15th, 2025, reference date May 5th, 2023: invalid range: xMin_ (0.930502) &gt;= xMax_ (0.930502)’ .&nbsp; The 19<font size="1"><span style="font-size:7.3pt"><sup>th</sup></span></font>
and 20<font size="1"><span style="font-size:7.3pt"><sup>th</sup></span></font> treasuries (CUSIPs <font face="Calibri">91282CGN</font><font face="Calibri"> and </font></div>
<div> <font face="Calibri">91282CED</font><font face="Calibri"> </font>yield 4.019113 and 4.02135 respectively? </div>
<div>&nbsp;</div>
<div>Thank you for your help in advance,</div>
<div>Greg</div></span></font></blockquote></div></div>