[Quantlib-users] Weired NPV when adding a unnecessary fixing rate on valuation date

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

Dear all,

I have a question regarding addfixing. I try to value a portfolio of
interest rate swaps, I add all the existing and required fixing rate of my
swaps to the index, however I get unexpected npv and dv01 for some trades.
My original code is in C++, for conenience, I try to reproduce it in python
as below. The story is that I add a fixing rate on 2019/11/12 which is
actually unnecessary for this swap. and it change the NPV of this swap. I
think the pricer will automatically choose pastfixing or forecasting by
swap’s fixing dates. Since it’s not the required fixing rate, adding such a
rate should have no impact to the NPV.
Do I miss anything or I make any mistake?
Need your advice and help.
Many Thanks.

Best,
Steve



from IPython.display import display

import QuantLib as ql

import pandas as pd



ql.Settings.instance().evaluationDate= ql.Date(12, 11, 2019)

refDate=ql.Settings.instance().evaluationDate

cashFlowCdr = ql.JointCalendar(ql.UnitedStates(ql.UnitedStates.Settlement),
ql.UnitedStates(ql.UnitedStates.LiborImpact))

yts = ql.RelinkableYieldTermStructureHandle()



instruments = [

    ('depo', '3M', 0.020),

    ('swap', '1Y', 0.031),

    ('swap', '2Y', 0.032),

    ('swap', '5Y', 0.035)

]



helpers = ql.RateHelperVector()

index = ql.USDLibor(ql.Period('3M'),yts)

for instrument, tenor, rate in instruments:

    if instrument == 'depo':

        helpers.append( ql.DepositRateHelper(rate, index) )

    if instrument == 'fra':

        monthsToStart = ql.Period(tenor).length()

        helpers.append( ql.FraRateHelper(rate, monthsToStart, index) )

    if instrument == 'swap':

        swapIndex = ql.UsdLiborSwapIsdaFixAm(ql.Period(tenor))

        helpers.append( ql.SwapRateHelper(rate, swapIndex))

curve = ql.PiecewiseLogCubicDiscount(0, cashFlowCdr, helpers, ql.
ActualActual())



yts.linkTo(curve)

engine = ql.DiscountingSwapEngine(yts)

calendar = ql.TARGET()

start = ql.Date(11,9,2019)

maturity = calendar.advance(start, ql.Period('4y'))

fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('3M'))

floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('3M'))



index.addFixing( ql.Date(9, 9, 2019), 0.020)

index.addFixing( ql.Date(12, 11, 2019), 0.030)



swap = ql.VanillaSwap(

    ql.VanillaSwap.Payer, 1000000,

    fixedSchedule, 0.01, ql.Thirty360(),

    floatSchedule, index, 0, ql.Actual360()

)

swap.setPricingEngine(engine)

npv=swap.NPV()

print(npv)