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

[Marcin R. <mry...@gm...>]

Hi Steve,

That fixing that you are passing on 2019/11/12 (also the evaluation date)
is actually quite important, because it is being set on the swap
instruments you are using to bootstrap the curve. Hence, it will affect the
NPV of the swap, which might not necessarily need that particular fixing.

See this related issue for more color:
https://github.com/lballabio/QuantLib/issues/1213

Hope this helps.

Kind regards,
Marcin

On Wed, 13 Sept 2023 at 10:44, Steve Hsieh <war...@gm...> wrote:

> 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)
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>