Re: [Quantlib-users] Problem with ql.VanillaSwap [OU]

[Luigi B. <lui...@gm...>]

Hello,
    it looks like it should work, but I can't really try your code since
it's missing a few bits (the code for build_ql_schedule and
schedule_builder.build_schedule).  Any chance you can provide a runnable
example?  Thanks!

Luigi


On Mon, Dec 18, 2023 at 12:39 AM Chilamakuri, Pavani <Chi...@eb...>
wrote:

> OFFICIAL USE
>
>
>
> Having issues instantiating a Vanilla swap using ql.VanillaSwap. I read
> online and tried ql.Actual365Fixed() as well as
> q.Actual365Fixed(q.Actual365Fixed.Standard). Not sure if the daycounter is
> the problem or the EUR3M_index. I also tried index_curve_handle and no
> luck. My goal is to get the par swap rate.
>
> I cannot seem to find a resolution and no idea exactly which argument to
> ql.ValillaSwap has the problem:
>
> Exception has occurred: 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 &,boost::optional< bool >)
> VanillaSwap::VanillaSwap(Swap::Type,Real,Schedule const &,Rate,DayCounter
> const &,Schedule const &,ext::shared_ptr< IborIndex > const
> &,Spread,DayCounter const &) File
> "C:\Pavani\aValidations\AMC_SwapSingleCcy_Bermudan\PythonCode\ASwapSingleCcyBermPricer_v2\swap.py",
> line 136, in get_par_swap_rate ir_swap =
> ql.VanillaSwap(ql.VanillaSwap.Receiver, notional, fixed_schedule, File
>
>
>
>
>
> My code below:
>
> def get_par_swap_rate(self, exp_date, market_index: YieldCurve, market_disc: YieldCurve, calendar):
>
>     ql_mat_dates = []
>
>     maturity_date = exp_date + relativedelta(years=1)
>
>     schedule_builder = build_ql_schedule()
>
>     fixed_tenor = "1Y"
>
>     fixed_calendar = "TAR"
>
>     fixed_convention = "MODFOLLOWING"
>
>     fixed_schedule = schedule_builder.build_schedule(exp_date,
>
>                                                 maturity_date,
>
>                                                 fixed_tenor,
>
>                                                 fixed_calendar,
>
>                                                 fixed_convention,
>
>                                                 fixed_convention,
>
>                                                 date_generation =
> ql.DateGeneration.Forward,
>
>                                                 end_of_month = False)
>
>     floating_tenor = "3M"
>
>     floating_calendar = "TAR"
>
>     floating_convention = "MODFOLLOWING"
>
>
>
>     floating_schedule = schedule_builder.build_schedule(exp_date,
>
>                                                 maturity_date,
>
>                                                 floating_tenor,
>
>                                                 floating_calendar,
>
>
>                                                 floating_convention,
>
>                                                 floating_convention,
>
>                                                 date_generation =
> ql.DateGeneration.Forward,
>
>                                                 end_of_month = False)
>
>
>
>
>
>     notional = 50000000
>
>     currency = 'EUR'
>
>     fixed_rate = 0.00192
>
>     # fixed_rate = 0.025
>
>     fixed_leg_daycount = ql.Actual365Fixed()
>
>     float_spread = -0.0033
>
>     float_leg_daycount = ql.Actual360()
>
>
>
>     startDateList = exp_date.year, exp_date.month, exp_date.day
>
>     # parse python datetime.date into QuantLib date format
>
>     ql_start_date = ql.Date(startDateList[2], startDateList[1],
> startDateList[0])
>
>
>
>     # set up index_curve in QuantLib
>
>     index_tenors = market_index.tenors
>
>     for tnr in index_tenors:
>
>         period = ql.Period(tnr, ql.Days)
>
>         ql_mat_date = ql_start_date + period
>
>         ql_mat_dates.append(ql_mat_date)
>
>     index_rates = market_index.rates
>
>     ql_day_count = ql.Actual365Fixed(ql.Actual365Fixed.Standard)
>
>     ql_calendar = ql.TARGET()
>
>     interpolation = ql.Linear()
>
>     compounding = ql.Compounded
>
>     compounding_frequency = ql.Daily
>
>     index_term_structure = ql.ZeroCurve(  ql_mat_dates, index_rates,
> ql_day_count,
>
>                                     ql_calendar, interpolation,
>
>                                     compounding, compounding_frequency)
>
>     index_curve_handle = ql.YieldTermStructureHandle(index_term_structure)
>
>
>
>     # set up index_curve in QuantLib
>
>     ql_mat_dates.clear()
>
>     discount_tenors = market_disc.tenors
>
>     for tnr in discount_tenors:
>
>         period = ql.Period(tnr, ql.Days)
>
>         ql_mat_date = ql_start_date + period
>
>         ql_mat_dates.append(ql_mat_date)
>
>     disc_curve_rates = market_disc.rates
>
>     ql_day_count = ql.Actual365Fixed(ql.Actual365Fixed.Standard)
>
>     ql_calendar = ql.TARGET()
>
>     interpolation = ql.Linear()
>
>     compounding = ql.Compounded
>
>     compounding_frequency = ql.Daily
>
>     disc_term_structure = ql.ZeroCurve(ql_mat_dates, disc_curve_rates,
> ql_day_count,
>
>                                     ql_calendar, interpolation,
>
>                                     compounding, compounding_frequency)
>
>     disc_curve_handle = ql.YieldTermStructureHandle(disc_term_structure)
>
>
>
>     EUR3M_index = ql.Euribor3M(index_curve_handle)
>
>     libor3M_index = ql.USDLibor(ql.Period(3, ql.Months),
> index_curve_handle)
>
>     #swap = ql.VanillaSwap(
>
>     # ql.VanillaSwap.Payer, 10000.0,
>
>     # fixed_schedule, 0.02, ql.Thirty360(ql.Thirty360.BondBasis),
>
>     # floating_schedule, index, 0.0, ql.Actual360()
>
>     # )
>
>     ir_swap = ql.VanillaSwap(ql.VanillaSwap.Receiver, notional,
> fixed_schedule,
>
>                              fixed_rate, fixed_leg_daycount,
> floating_schedule,
>
>                              EUR3M_index, float_spread, float_leg_daycount)
>
>     swap_engine = ql.DiscountingSwapEngine(disc_curve_handle)
>
>     ir_swap.setPricingEngine(swap_engine)
>
>     par_swap_rate = ir_swap.fairRate()
>
>     return par_swap_rate
>
>
>
>
>
> Best Regards,
>
> Pav
>
> Phone: +44(0)7769003342
>
>
>
>
>
> OFFICIAL USE
>
>
>
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