Re: [Quantlib-users] Failing to create a Swap contract

[David D. <nh...@gm...>]

It seems you are providing a YieldTermStructureHandle to a
YieldTermStructureHandle here:
ql.YieldTermStructureHandle(ForecastingTermStructure),

In your swap constructor, you can use ForecastingTermStructure directly
because it's already a YieldTermStructureHandle.



On Thu, 19 Oct 2023 at 16:04, Brian Smith <bri...@gm...>
wrote:

> 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.
>
>
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