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

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Sorry, first the weekend and then my real job got in the way.  After the
floating schedule, you're passing your forecasting curve where an
interest-rate index should be.
Use something like ql.Euribor6M(ForecastingTermStructure).

Luigi

On Mon, Oct 23, 2023 at 8:55 AM Brian Smith <bri...@gm...>
wrote:

> Hi,
>
> It will be really helpful if some solution can be obtained to my problem.
>
> I already provided full code for creation of a Swap contract where I
> am failing. Please let me know if any further information is required.
>
> Thanks and regards,
>
> On Fri, 20 Oct 2023 at 19:51, Brian Smith <bri...@gm...>
> wrote:
> >
> > Hi Luigi,
> >
> > Below is my full code. Any help on how to resolve this issue will be
> > great. Thanks,
> >
> > import QuantLib as ql
> >
> > Calendar = ql.TARGET()
> > TermStructureDayCounter = ql.Actual365Fixed()
> > DepositDayCounter = ql.Actual360()
> > FixingDays = 2
> > TodaysDate = ql.Date(11, ql.December, 2012)
> > ql.Settings.instance().evaluationDate = TodaysDate
> > SettlementDate = Calendar.adjust(Calendar.advance(TodaysDate,
> > FixingDays, ql.Days))
> >
> > 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
> > ),
> > ForecastingTermStructure,
> > 0.0,
> > ql.Actual360()
> > )
> >
> > On Fri, 20 Oct 2023 at 19:04, Luigi Ballabio <lui...@gm...>
> wrote:
> > >
> > > Hi Brian,
> > >     may you post an example we can run?  Lots of undefined variables
> in the code you posted (Calendar, DayCounter, SettlementDate...)
> > >
> > > Anyway, what I would do is look at the types of the parameters you're
> passing (as in, calling type(...) on them) and check if they match the
> prototypes that the wrappers are showing in the error message.
> > >
> > > Luigi
> > >
> > >
> > > On Fri, Oct 20, 2023 at 3:10 PM Brian Smith <
> bri...@gm...> wrote:
> > >>
> > >> Hi Trent,
> > >>
> > >> While it will be definitely interesting to try with MakeSwap, but it
> > >> would be insightful to understand why my earlier implementation with
> > >> VanillaSwap is failing. Any help to resolve error with VanillaSwap is
> > >> very appreciated.
> > >>
> > >> Thanks and regards,
> > >>
> > >> On Thu, 19 Oct 2023 at 22:31, Trent Maetzold <tr...@ma...>
> wrote:
> > >> >
> > >> > 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?
> > >> >
> > >> > Sent from Proton Mail for iOS
> > >> >
> > >> >
> > >> > On Thu, Oct 19, 2023 at 11:57, Brian Smith <
> bri...@gm...> 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.
> > >> > >>
> > >> > >>
> > >> > >> _______________________________________________
> > >> > >> QuantLib-users mailing list
> > >> > >> Qua...@li...
> > >> > >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> > >> >
> > >> >
> > >> > _______________________________________________
> > >> > QuantLib-users mailing list
> > >> > Qua...@li...
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> > >>
> > >>
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