Re: [Quantlib-users] SOFR YieldCurve Bond Pricing Error

[Steve H. <war...@gm...>]

Hi Michael,
Your bond’s maturity,2031/2/1, is beyond the curve horizon, 5yr, which is
around 2028/6/9. Try to give a longer curve to cover bond length or enable
extrapolation for sofrCurve.

Best,
Steve

On Thu, Sep 7, 2023 at 10:44 PM Michael (DataDriven portal) <
mi...@da...> wrote:

> 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)
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