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

[Trent M. <tr...@ma...>]

Sorry, on mobile. There’s a function MakeSwap that makes it easier to construct a swap. You don’t need to worry about as many params and there’s better type hinting available. Can you try that instead of using the class directly?

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On Thu, Oct 19, 2023 at 11:57, Brian Smith <[bri...@gm...](mailto:On Thu, Oct 19, 2023 at 11:57, Brian Smith <<a href=)> wrote:

> I used
>
> 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
> ),
> ForecastingTermStructure,
> 0.0,
> ql.Actual360()
> )
>
> But still getting error which reads as
>
> Traceback (most recent call last):
>
> File "<stdin>", line 1, in <module>
>
> File "/usr/local/lib/python3.11/site-packages/QuantLib/QuantLib.py",
> line 21252, in __init__
>
> _QuantLib.VanillaSwap_swiginit(self, _QuantLib.new_VanillaSwap(*args))
>
> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
>
> TypeError: Wrong number or type of arguments for overloaded function
> 'new_VanillaSwap'.
>
> Possible C/C++ prototypes are:
>
> VanillaSwap::VanillaSwap(Swap::Type,Real,Schedule const
> &,Rate,DayCounter const &,Schedule const &,ext::shared_ptr< IborIndex
>> const &,Spread,DayCounter const &,ext::optional< bool >)
>
> VanillaSwap::VanillaSwap(Swap::Type,Real,Schedule const
> &,Rate,DayCounter const &,Schedule const &,ext::shared_ptr< IborIndex
>> const &,Spread,DayCounter const &)
>
> On Thu, 19 Oct 2023 at 22:18, David Duarte <nh...@gm...> wrote:
>>
>> 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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>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
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