|
From: Brian S. <bri...@gm...> - 2023-10-19 15:00:30
|
Hi,
I tried to create Swap contract unsuccessfully as below
import QuantLib as ql
Euribor6MInstruments = [
ql.DepositRateHelper(
ql.QuoteHandle(ql.SimpleQuote(0.00312)),
ql.Period(6, ql.Months),
3,
Calendar,
ql.Following,
False,
DepositDayCounter
)
]
Euribor6MTermStructure = ql.PiecewiseLogCubicDiscount(SettlementDate,
Euribor6MInstruments, TermStructureDayCounter)
ForecastingTermStructure = ql.RelinkableYieldTermStructureHandle()
ForecastingTermStructure.linkTo(Euribor6MTermStructure)
ql.VanillaSwap(
ql.Swap.Payer,
1000000.0,
ql.Schedule(
SettlementDate,
SettlementDate + ql.Period(5, ql.Years),
ql.Period(ql.Annual),
Calendar,
ql.Unadjusted,
ql.Unadjusted,
ql.DateGeneration.Forward,
False
),
0.007,
ql.Thirty360(ql.Thirty360.European),
ql.Schedule(
SettlementDate,
SettlementDate + ql.Period(5, ql.Years),
ql.Period(ql.Semiannual),
Calendar,
ql.ModifiedFollowing,
ql.ModifiedFollowing,
ql.DateGeneration.Forward,
False
),
ql.YieldTermStructureHandle(ForecastingTermStructure),
0.0,
ql.Actual360()
)
With above I got below error
Traceback (most recent call last):
File "<stdin>", line 26, in <module>
File "/usr/local/lib/python3.11/site-packages/QuantLib/QuantLib.py",
line 8609, in __init__
_QuantLib.YieldTermStructureHandle_swiginit(self,
_QuantLib.new_YieldTermStructureHandle(*args))
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
TypeError: Wrong number or type of arguments for overloaded function
'new_YieldTermStructureHandle'.
Possible C/C++ prototypes are:
Handle< YieldTermStructure >::Handle(ext::shared_ptr<
YieldTermStructure > const &)
Handle< YieldTermStructure >::Handle()
Any help on how to resolve above error is very appreciated.
|