[Quantlib-users] SOFR YieldCurve Bond Pricing Error

[Michael (D. portal) <mi...@da...>]

Hi All,

I am pricing a bond using a SOFR yieldcurve (see code below) but getting *time
is past max curve time *run time error on bond.cleanPrice() function. When
I use a simple (not SOFR) curve (valCurve_test) there is no error.

I would appreciate any help.

Thanks,

Michael

***********************************************************************************************************************************
import QuantLib as ql
today = ql.Date(9,6,2023)

# Curve
marketQuotes=[['1Y',0.05],['5Y',0.05]]

# Bond
schedule = ql.Schedule(today, ql.Date(1,ql.February,2031),
                       ql.Period(ql.Semiannual), ql.UnitedStates(),
                       ql.ModifiedFollowing, ql.ModifiedFollowing,
                       ql.DateGeneration.Backward, False)
bond = ql.FixedRateBond(3, 100.0, schedule, [0.03625], ql.Actual360())

# OIS Helper
oisHelper = []
for quote in marketQuotes:
    oisHelper.append(ql.OISRateHelper(2, ql.Period(quote[0]),
ql.QuoteHandle(ql.SimpleQuote(quote[1]/100)), ql.Sofr()))

# Curves Specifications
sofrCurve = ql.PiecewiseLinearZero(2, ql.UnitedStates(), oisHelper,
 ql.Actual360())
valCurve = ql.YieldTermStructureHandle(sofrCurve)
sofrIndex = ql.Sofr(valCurve)
swapEngine = ql.DiscountingSwapEngine(valCurve)

valCurve_test=ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(),
0.10, ql.Actual360()))

# Price Bond
bond_engine = ql.DiscountingBondEngine(valCurve)
bond.setPricingEngine(bond_engine)
bond_price = bond.cleanPrice()
print(bond_price)