quantlib-users — QuantLib users discussion list

Re: [Quantlib-users] NPV method fails to generate valuations

[Amine I. <ami...@gm...>]

Hi Daniel,

I believe the error is due to an initial check on the term structure that fails because The last tenor on the curve is less than the maturity date of your instrument/ underlying swap. 

I would try setting the last tenor on the curve to be longer than the last point on your instrument.

 Let me know how it goes !

Amine Ifri

> On 19 Sep 2020, at 11:27, Daniel Lobo <dan...@gm...> wrote:
> 
> Hi,
> 
> I was replicating the examples as given in
> https://github.com/lballabio/QuantLib/blob/master/Examples/BermudanSwaption/BermudanSwaption.cpp.
> 
> However I changed the Term structure curve as below -
> 
> Asin the file -
> 
> Handle<YieldTermStructure> rhTermStructure(
> ext::make_shared<FlatForward>(
> settlementDate, Handle<Quote>(flatRate),
> Actual365Fixed()));
> 
> But I changed to -
> 
> Handle<YieldTermStructure> rhTermStructure1(
>            ext::make_shared<FlatForward>(
>                      settlementDate, Handle<Quote>(flatRate),
>                                      Actual365Fixed()));
> 
>         std::vector<QuantLib::Date> sr_dt;
>      std::vector<QuantLib::Real> sr_v;
>      sr_dt.push_back(Date(15, February, 2002));
>     sr_dt.push_back(Date(15, February, 2003));
>     sr_dt.push_back(Date(15, February, 2004));
>     sr_v.push_back(0);
>     sr_v.push_back(1.5/100);
>     sr_v.push_back(2/100);
> 
>        Handle<YieldTermStructure> rhTermStructure(
>            ext::make_shared<ZeroCurve>(sr_dt,
>  sr_v,
>  Actual365Fixed()
> ));
> 
> With this change I failed to generate any value. I received error -
> 
> 1st leg: time (2.01096) is past max curve time (2)
> 
> Any insight why I get this error and how to resolve this would be
> really helpful.
> 
> Thanks for your time
> 
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] NPV method fails to generate valuations

[Daniel L. <dan...@gm...>]

Hi,

I was replicating the examples as given in
https://github.com/lballabio/QuantLib/blob/master/Examples/BermudanSwaption/BermudanSwaption.cpp.

However I changed the Term structure curve as below -

Asin the file -

Handle<YieldTermStructure> rhTermStructure(
ext::make_shared<FlatForward>(
settlementDate, Handle<Quote>(flatRate),
Actual365Fixed()));

But I changed to -

Handle<YieldTermStructure> rhTermStructure1(
            ext::make_shared<FlatForward>(
                      settlementDate, Handle<Quote>(flatRate),
                                      Actual365Fixed()));

         std::vector<QuantLib::Date> sr_dt;
      std::vector<QuantLib::Real> sr_v;
      sr_dt.push_back(Date(15, February, 2002));
     sr_dt.push_back(Date(15, February, 2003));
     sr_dt.push_back(Date(15, February, 2004));
     sr_v.push_back(0);
     sr_v.push_back(1.5/100);
     sr_v.push_back(2/100);

        Handle<YieldTermStructure> rhTermStructure(
            ext::make_shared<ZeroCurve>(sr_dt,
  sr_v,
  Actual365Fixed()
));

With this change I failed to generate any value. I received error -

1st leg: time (2.01096) is past max curve time (2)

Any insight why I get this error and how to resolve this would be
really helpful.

Thanks for your time

Re: [Quantlib-users] Libor forward model swaption

[Arkadiy N. <ark...@gm...>]

There is something basic in tests on github:
https://github.com/lballabio/QuantLib/blob/master/test-suite/libormarketmodel.cpp


On Fri, Sep 18, 2020 at 6:18 PM Daniel Lobo <dan...@gm...> wrote:

> Thanks. Even any examples with c++ would help. Regards,
>
> On Sat, 19 Sep 2020 at 03:40, Arkadiy Naumov <ark...@gm...>
> wrote:
> >
> > As far as I know, LMM isn't exposed via swig, so it won't be there in
> Python package. You'd have to go C++ route to access the functionality.
> There may be some examples of that available - I don't know much about C++
> myself, so I never looked into it.
> >
> > On Fri, Sep 18, 2020 at 3:11 AM Daniel Lobo <dan...@gm...>
> wrote:
> >>
> >> Hi,
> >>
> >> Just thought to follow-up on this. Is there any way to get an example
> >> to implement this model?
> >>
> >> Many thanks for your time.
> >>
> >> On Tue, 15 Sep 2020 at 14:26, Daniel Lobo <dan...@gm...>
> wrote:
> >> >
> >> > Hi,
> >> >
> >> > I was struggling to understand how the Libor forward model can be used
> >> > to value a swaption.
> >> >
> >> > This requires an instance of class LiborForwardModel (link :
> >> >
> https://rkapl123.github.io/QLAnnotatedSource/d6/d6f/class_quant_lib_1_1_libor_forward_model.html
> ),
> >> > but I failed to understand how to construct it.
> >> >
> >> > I am using Python build of QuantLib, do you have any example for
> >> > LiborForwardModel's implementation?
> >> >
> >> > Your help is much appreciated.
> >> >
> >> > Thank you. Regards
> >>
> >>
> >> _______________________________________________
> >> QuantLib-users mailing list
> >> Qua...@li...
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Libor forward model swaption

[Daniel L. <dan...@gm...>]

Thanks. Even any examples with c++ would help. Regards,

On Sat, 19 Sep 2020 at 03:40, Arkadiy Naumov <ark...@gm...> wrote:
>
> As far as I know, LMM isn't exposed via swig, so it won't be there in Python package. You'd have to go C++ route to access the functionality. There may be some examples of that available - I don't know much about C++ myself, so I never looked into it.
>
> On Fri, Sep 18, 2020 at 3:11 AM Daniel Lobo <dan...@gm...> wrote:
>>
>> Hi,
>>
>> Just thought to follow-up on this. Is there any way to get an example
>> to implement this model?
>>
>> Many thanks for your time.
>>
>> On Tue, 15 Sep 2020 at 14:26, Daniel Lobo <dan...@gm...> wrote:
>> >
>> > Hi,
>> >
>> > I was struggling to understand how the Libor forward model can be used
>> > to value a swaption.
>> >
>> > This requires an instance of class LiborForwardModel (link :
>> > https://rkapl123.github.io/QLAnnotatedSource/d6/d6f/class_quant_lib_1_1_libor_forward_model.html),
>> > but I failed to understand how to construct it.
>> >
>> > I am using Python build of QuantLib, do you have any example for
>> > LiborForwardModel's implementation?
>> >
>> > Your help is much appreciated.
>> >
>> > Thank you. Regards
>>
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Unable to calculate DM for Floating rate note with a floor

[Arkadiy N. <ark...@gm...>]

This isn't based on any research (I didn't actually look at the code to
confirm), but from a naive perspective - once you add a floor, you can no
longer use the discounted cash flows engine to value this bond, since it
has an embedded option. Unless of course there is something built into the
engine just for this case (i.e. it assumes zero volatility or something of
that nature).

On Sun, Sep 6, 2020 at 4:49 PM Sumit Sengupta <su...@mo...>
wrote:

> Hi all,
>
>   I am trying to price a Floating rate note (as per the quantlib python cookbook).
>
>   It seems to fail whenever I put a *floor = [0], * with the error...
>
> Traceback (most recent call last):
>   File "C:/Users/sumit/.PyCharm2018.3/config/scratches/scratch_48.py", line 88, in calc_bond_price
>     return (bond.cleanPrice() - price)**2
>   File "C:\Users\sumit\Anaconda3\envs\msq-360-plus\lib\site-packages\QuantLib\QuantLib.py", line 16229, in cleanPrice
>     return _QuantLib.Bond_cleanPrice(self, *args)
> RuntimeError: pricer not set
>
> Note that it fails when I try to fit a discount margin spread over my discount rate curve
>
> *My code is as below....*
>
> forecast_curve = ql.RelinkableYieldTermStructureHandle()
> discount_curve = ql.RelinkableYieldTermStructureHandle()
>
> term_structure_handle, index = generate_swaps_market_data()
> index.addFixing(ql.Date(16, 7, 2020), 0/100)
>
> forecast_curve.linkTo(ql.ZeroSpreadedTermStructure(term_structure_handle, ql.QuoteHandle(ql.SimpleQuote(0.))))
>
> issue_date = ql.Date(19, 1, 2001)
> maturity_date = ql.Date(19, 1, 2031)
>
> schedule = ql.Schedule(issue_date, maturity_date,ql.Period(ql.Quarterly), ql.TARGET(),
>                        ql.Following, ql.Following,ql.DateGeneration.Backward, False)
>
> bond = ql.FloatingRateBond(settlementDays = 2,faceAmount = 100,schedule = schedule,
>                            index = index,paymentDayCounter = ql.Actual360(),
>                            paymentConvention = ql.Following, fixingDays = index.fixingDays(),gearings = [],
>                            spreads = [0.3/10000],caps= [],*floors = [0]*,inArrears = False,redemption = 100.0,issueDate = issue_date
>                            )
>
> bond.setPricingEngine(ql.DiscountingBondEngine(discount_curve))
>
> DM = ql.SimpleQuote(0.0)
> discount_curve.linkTo(ql.ZeroSpreadedTermStructure(forecast_curve,ql.QuoteHandle(DM)))
>
> price=88.466
>
> def calc_bond_price(param):
>     s = param[0]
>     DM.setValue(s)
>     return (bond.cleanPrice() - price)**2
>
> x0=0.0003
> bounds=[[-1000, 1000]]
> res = minimize(calc_bond_price, x0, bounds=bounds)
> print(f"DM:{res.x[0]*10000}")
>
> DM.setValue(res.x[0])
> print(f"clean price:{bond.cleanPrice()}")
>
>
> --
> Mosaic Smart Data
>
> mobile +44 (0)7961839363
> su...@mo...
> 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> www.mosaicsmartdata.com
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Libor forward model swaption

[Arkadiy N. <ark...@gm...>]

As far as I know, LMM isn't exposed via swig, so it won't be there in
Python package. You'd have to go C++ route to access the functionality.
There may be some examples of that available - I don't know much about C++
myself, so I never looked into it.

On Fri, Sep 18, 2020 at 3:11 AM Daniel Lobo <dan...@gm...> wrote:

> Hi,
>
> Just thought to follow-up on this. Is there any way to get an example
> to implement this model?
>
> Many thanks for your time.
>
> On Tue, 15 Sep 2020 at 14:26, Daniel Lobo <dan...@gm...> wrote:
> >
> > Hi,
> >
> > I was struggling to understand how the Libor forward model can be used
> > to value a swaption.
> >
> > This requires an instance of class LiborForwardModel (link :
> >
> https://rkapl123.github.io/QLAnnotatedSource/d6/d6f/class_quant_lib_1_1_libor_forward_model.html
> ),
> > but I failed to understand how to construct it.
> >
> > I am using Python build of QuantLib, do you have any example for
> > LiborForwardModel's implementation?
> >
> > Your help is much appreciated.
> >
> > Thank you. Regards
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Libor forward model swaption

[Daniel L. <dan...@gm...>]

Hi,

Just thought to follow-up on this. Is there any way to get an example
to implement this model?

Many thanks for your time.

On Tue, 15 Sep 2020 at 14:26, Daniel Lobo <dan...@gm...> wrote:
>
> Hi,
>
> I was struggling to understand how the Libor forward model can be used
> to value a swaption.
>
> This requires an instance of class LiborForwardModel (link :
> https://rkapl123.github.io/QLAnnotatedSource/d6/d6f/class_quant_lib_1_1_libor_forward_model.html),
> but I failed to understand how to construct it.
>
> I am using Python build of QuantLib, do you have any example for
> LiborForwardModel's implementation?
>
> Your help is much appreciated.
>
> Thank you. Regards

Re: [Quantlib-users] regarding permission

[Francois B. <ig...@gm...>]

Thanks, Luigi.

Does the BSD license then permit one to take the entire QuantLib source
code, repackage it as a commercial project and sell it, with no
modifications whatsoever (as long as you include the license text)? Of
course it's not what I intend to do. I'm just curious about how permissive
it is.

And following on, would someone be able to take the project and relicense
it under something else. I'm guessing that would require the permission of
all code contributors first, which would be quite a practical challenge.

Sorry if this is a bit off topic.

Francois Botha


On Sat, 5 Sep 2020 at 18:18, Luigi Ballabio <lui...@gm...>
wrote:

> Hello Mudit, Francois,
>     the QuantLib license is the 3-clause BSD license (<
> https://opensource.org/licenses/BSD-3-Clause>).  It allows you to do
> anything with the QuantLib code: your product can be closed source, and if
> you're modifying the QuantLib code, you don't have to make the modified
> source available.  I'm not a lawyer either, but as I read it, your only
> obligation is that if you redistribute/sell whatever it is you do, in
> binary or source form, you must also include the full text of the QuantLib
> license, including the disclaimer of warranty.  It doesn't mean you're
> applying the same license to your product!  Basically, you're saying that
> your product includes or uses some QuantLib code, and you're including the
> QuantLib license so it's clear to whomever uses it that the QuantLib
> developers are not responsible for anything that might happen as a
> consequence.
>
> Hope this helps.  In any case, you can find more information by
> researching the 3-clause BSD license.
>
> Luigi
>
> P.S. @Francois: GPL is an entirely different beast, and I'm not sure I'm
> qualified to answer about that.
>
>
> On Sat, Sep 5, 2020 at 9:27 AM Francois Botha <ig...@gm...> wrote:
>
>> Hi
>>
>> I'm also interested this question. Hope it's OK if I add to it, Mudit.
>>
>> I understand that the license is quite permissive, but I'm still not sure
>> exactly what it requires.
>>
>> Can I link to quantlib from a commercial product?
>>
>> Can I copy code directly from quantlib into my project and compile it?
>>
>> When do I have to release the quantlib source code alongside my
>> commercial product?
>>
>> I know few of us here are lawyers and that the usual disclaimer holds,
>> but I'm sure someone else here is less confused than I am.
>>
>> While we're at it, it doesn't pertain to quantlib, but how do the answers
>> to my questions change if the license were eg a GPL based license?
>>
>> Thanks
>> Francois
>>
>> On Sat, 5 Sep 2020, 08:42 Mudit Sharma, <sha...@gm...> wrote:
>>
>>> Dear list,
>>>
>>> I intend to derive a commercial product relying on Quantlib. I just want
>>> to be sure that
>>> I can use Quantlib freely for my product. I have read the license and I
>>> think my product will not violate it. However I have a doubt :
>>>
>>> 1)  In this page : https://www.quantlib.org/license.shtml
>>> there it is mentioned :  It allows proprietary extensions to be
>>> commercialized
>>> I wanted to know what exactly is meant by this statement.
>>> Can the extension be anything ? another library/api/website/blog etc ?
>>>
>>> Hoping to hear from you soon,
>>> Mudit Sharma
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

[Quantlib-users] Libor forward model swaption

[Daniel L. <dan...@gm...>]

Hi,

I was struggling to understand how the Libor forward model can be used
to value a swaption.

This requires an instance of class LiborForwardModel (link :
https://rkapl123.github.io/QLAnnotatedSource/d6/d6f/class_quant_lib_1_1_libor_forward_model.html),
but I failed to understand how to construct it.

I am using Python build of QuantLib, do you have any example for
LiborForwardModel's implementation?

Your help is much appreciated.

Thank you. Regards

[Quantlib-users] Cross currency swaps

[Daniel L. <dan...@gm...>]

Hi,

I wanted to confirm if there is any way to value the cross-currency
swaps with fixed/floating legs and different indices.

I see only VanillaSwap class, which I believe only takes care of
Interest Rate swaps.

Kindly advise, which swap class can be used for cross-currency swaps.

Thanks for your time. Kind regards

[Quantlib-users] Use SofrFutureRateHelper to build a SOFR curve

[Guan W. <gw...@co...>]

Hi! I was wondering if there is some example out there showing how to use
this class to build a SOFR curve from SOFR 3-month futures. Thanks in
advance.

[Quantlib-users] How to use CallabilitySchedule class properly

[Christofer B. <bog...@gm...>]

Hi,

I was looking at an example in -
http://gouthamanbalaraman.com/blog/callable-bond-quantlib-python.html

However I failed to understand how the call option schedule is
constructed in below snippet?

callability_schedule = ql.CallabilitySchedule()
call_price = 100.0
call_date = ql.Date(15,ql.September,2016);
null_calendar = ql.NullCalendar();
for i in range(0,24):
    callability_price  = ql.CallabilityPrice(
        call_price, ql.CallabilityPrice.Clean)
    callability_schedule.append(
            ql.Callability(callability_price,
                           ql.Callability.Call,
                           call_date))

    call_date = null_calendar.advance(call_date, 3, ql.Months);

Why I need to run a loop as "for i in range(0,24)" to create a
singleton schedule at  ql.Date(15,ql.September,2016)?

If I had only 2 callability schedules like
ql.Date(15,ql.September,2016) & ql.Date(15,ql.October,2016) within the
lifetime of the underlying Bond then how should I proceed?

Your help will be very much appreciated.

Thanks,

Re: [Quantlib-users] Where can I find the background material related to the experimental SSVI implementation?

[Prasanna K. <pk...@ku...>]

Peter,
Thank you very much.

Prasanna

> On Sep 11, 2020, at 2:48 AM, Peter Caspers <pca...@gm...> wrote:
> 
> Hi Prasanna,
> 
> one suitable reference is this here
> 
> https://arxiv.org/pdf/1204.0646.pdf
> 
> Thanks
> Peter
> 
> On Thu, 10 Sep 2020 at 16:41, Prasanna Katta <pk...@ku...> wrote:
>> 
>> Hello,
>> Where can I find the background material related to the experimental SSVI implementation in the QuantLib library?
>> 
>> Thanks.
>> 
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Where can I find the background material related to the experimental SSVI implementation?

[Peter C. <pca...@gm...>]

Hi Prasanna,

one suitable reference is this here

https://arxiv.org/pdf/1204.0646.pdf

Thanks
Peter

On Thu, 10 Sep 2020 at 16:41, Prasanna Katta <pk...@ku...> wrote:
>
> Hello,
> Where can I find the background material related to the experimental SSVI implementation in the QuantLib library?
>
> Thanks.
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Where can I find the background material related to the experimental SSVI implementation?

[Prasanna K. <pk...@ku...>]

Hello,
Where can I find the background material related to the experimental SSVI implementation in the QuantLib library?

Thanks.

Re: [Quantlib-users] Valuation of a bond portfolio in Quantlib

[Marco C. <mar...@gm...>]

Hi,

>> I have a portfolio of bonds in a table that I would like to value.
>>
>> Can one  suggest the most efficient way I can value all at once. I can only value one bond at a time.

It may be worth having a look at ORE [1].

Cheers

Marco

[1] https://github.com/OpenSourceRisk/Engine
-- 
Marco Craveiro

MD, Domain Driven Consulting
about: http://about.me/marcocraveiro
blog: http://mcraveiro.blogspot.co.uk
twitter: https://twitter.com/MarcoCraveiro

That the Ideas are themselves manifestations (of the Idea-Idea) and
that the Idea-Idea is a-kind-of Manifestation-Idea—which is a-kind-of
itself, so that the system is completely self-describing— would have
been appreciated by Plato as an extremely practical joke [Plato]. --
Alan Key

[Quantlib-users] Zero coupon bond- unable to reconcile the ytm & flat z-spread

[Sumit S. <su...@mo...>]

Hi,

   Please find attached my QL implementation for a ZCB. I have tried to
reconcile what I get using my discount  curve bootstrapped from a swap
curve vs a simple calculation based on a flat YTM.

   I am getting a ytm of -6.3% - which doesn't look right when I compare
that to a simple calc that I show in the code.

Thanks,
Sumit

-- 
Mosaic Smart Data

mobile +44 (0)7961839363
su...@mo...
25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
www.mosaicsmartdata.com

Re: [Quantlib-users] Valuation of a bond portfolio in Quantlib

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

Hello,
    I'm afraid there's no concept of portfolio in the library.  You'll have
to collect and sum the values of the individual bonds.

Luigi


On Sat, Sep 5, 2020 at 7:37 PM Ruth Masungwini via QuantLib-users <
qua...@li...> wrote:

> Hi ;
>
> I have a portfolio of bonds in a table that I would like to value.
>
> Can one  suggest the most efficient way I can value all at once. I can
> only value one bond at a time.
>
> Thanks
> Regards;
> Ruth
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Simulation path

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

Hello,
    alternatively, I'd use a path-generator class (which takes care of
calling the process interface).  Depending on your process, that might be
PathGenerator (if your process is 1-D, like the Black-Scholes-Merton
process) or MultiPathGenerator (e.g. for Heston, which has two variables).
You can find a 1-D example at <
http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html
>.

Luigi


On Sun, Sep 6, 2020 at 10:29 PM Amine Ifri <ami...@gm...> wrote:

> Hi Christofer,
>
> The process interface in QL has a Virtual method called evolve() with
> arguments to “evolve” your simulated variable through time from t to t+dt
> and is implemented for a variety of models per asset class. I use the
> discretisation of a time grid and just evolve the process from time point
> to the next until the last grid point.
>
> Hope this helps,
>
> Amine Ifri
>
> > On 6 Sep 2020, at 21:13, Christofer Bogaso <bog...@gm...>
> wrote:
> >
> > Hi,
> >
> > I am wondering if there is any way to get the simulated path generated
> > from some stochastic process like GBM with constant volatility and
> > Heston.
> >
> > I am using Python implementation of Quantlib.
> >
> > Any pointer will be highly appreciated.
> >
> > Thanks,
> >
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] VarianceSwap Class Reference

[<sh...@op...>]

Hi Daniel,

Good place to start are the unit tests in C++ for a C++ example.

Look into varianceswaps.cpp in the testsuite project (https://github.com/lballabio/QuantLib/blob/master/test-suite/varianceswaps.cpp).

Kind Regards,
Steven

-----Original Message-----
From: Daniel Lobo <dan...@gm...> 
Sent: Sunday, 6 September 2020 23:35
To: qua...@li...
Subject: [Quantlib-users] VarianceSwap Class Reference

Hi Quantlib experts,

I was looking for some implementation to value a spot Variance swap contract with discrete fixing points.

I looked into the VarianceSwap Class Reference in https://rkapl123.github.io/QLAnnotatedSource/d1/dfb/class_quant_lib_1_1_variance_swap.html
which is defined as below -

VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate)

However I am missing few things as below -

1. How can I input the valuation date?
2. How can I input the discount curve
3. Is the startDate corresponding to the start date of fixing interval?
4. Is this class for discrete fixing or continuous fixing?

Is there any workout example for this valuation either in c++ or python?

Your pointer will be highly appreciated.

Thanks for your time.


_______________________________________________
QuantLib-users mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] VarianceSwap Class Reference

[Daniel L. <dan...@gm...>]

Hi Quantlib experts,

I was looking for some implementation to value a spot Variance swap
contract with discrete fixing points.

I looked into the VarianceSwap Class Reference in
https://rkapl123.github.io/QLAnnotatedSource/d1/dfb/class_quant_lib_1_1_variance_swap.html
which is defined as below -

VarianceSwap (Position::Type position, Real strike, Real notional,
const Date &startDate, const Date &maturityDate)

However I am missing few things as below -

1. How can I input the valuation date?
2. How can I input the discount curve
3. Is the startDate corresponding to the start date of fixing interval?
4. Is this class for discrete fixing or continuous fixing?

Is there any workout example for this valuation either in c++ or python?

Your pointer will be highly appreciated.

Thanks for your time.

Re: [Quantlib-users] Simulation path

[Christofer B. <bog...@gm...>]

Hi,

Thanks for your reply.

Do you have any Python-code example to share with me? Appreciate your
help. Thanks,

On Mon, Sep 7, 2020 at 1:57 AM Amine Ifri <ami...@gm...> wrote:
>
> Hi Christofer,
>
> The process interface in QL has a Virtual method called evolve() with arguments to “evolve” your simulated variable through time from t to t+dt and is implemented for a variety of models per asset class. I use the discretisation of a time grid and just evolve the process from time point to the next until the last grid point.
>
> Hope this helps,
>
> Amine Ifri
>
> > On 6 Sep 2020, at 21:13, Christofer Bogaso <bog...@gm...> wrote:
> >
> > Hi,
> >
> > I am wondering if there is any way to get the simulated path generated
> > from some stochastic process like GBM with constant volatility and
> > Heston.
> >
> > I am using Python implementation of Quantlib.
> >
> > Any pointer will be highly appreciated.
> >
> > Thanks,
> >
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Unable to calculate DM for Floating rate note with a floor

[Sumit S. <su...@mo...>]

Hi all,

  I am trying to price a Floating rate note (as per the quantlib
python cookbook).

  It seems to fail whenever I put a *floor = [0], * with the error...

Traceback (most recent call last):
  File "C:/Users/sumit/.PyCharm2018.3/config/scratches/scratch_48.py",
line 88, in calc_bond_price
    return (bond.cleanPrice() - price)**2
  File "C:\Users\sumit\Anaconda3\envs\msq-360-plus\lib\site-packages\QuantLib\QuantLib.py",
line 16229, in cleanPrice
    return _QuantLib.Bond_cleanPrice(self, *args)
RuntimeError: pricer not set

Note that it fails when I try to fit a discount margin spread over my
discount rate curve

*My code is as below....*

forecast_curve = ql.RelinkableYieldTermStructureHandle()
discount_curve = ql.RelinkableYieldTermStructureHandle()

term_structure_handle, index = generate_swaps_market_data()
index.addFixing(ql.Date(16, 7, 2020), 0/100)

forecast_curve.linkTo(ql.ZeroSpreadedTermStructure(term_structure_handle,
ql.QuoteHandle(ql.SimpleQuote(0.))))

issue_date = ql.Date(19, 1, 2001)
maturity_date = ql.Date(19, 1, 2031)

schedule = ql.Schedule(issue_date,
maturity_date,ql.Period(ql.Quarterly), ql.TARGET(),
                       ql.Following,
ql.Following,ql.DateGeneration.Backward, False)

bond = ql.FloatingRateBond(settlementDays = 2,faceAmount =
100,schedule = schedule,
                           index = index,paymentDayCounter = ql.Actual360(),
                           paymentConvention = ql.Following,
fixingDays = index.fixingDays(),gearings = [],
                           spreads = [0.3/10000],caps= [],*floors =
[0]*,inArrears = False,redemption = 100.0,issueDate = issue_date
                           )

bond.setPricingEngine(ql.DiscountingBondEngine(discount_curve))

DM = ql.SimpleQuote(0.0)
discount_curve.linkTo(ql.ZeroSpreadedTermStructure(forecast_curve,ql.QuoteHandle(DM)))

price=88.466

def calc_bond_price(param):
    s = param[0]
    DM.setValue(s)
    return (bond.cleanPrice() - price)**2

x0=0.0003
bounds=[[-1000, 1000]]
res = minimize(calc_bond_price, x0, bounds=bounds)
print(f"DM:{res.x[0]*10000}")

DM.setValue(res.x[0])
print(f"clean price:{bond.cleanPrice()}")


-- 
Mosaic Smart Data

mobile +44 (0)7961839363
su...@mo...
25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
www.mosaicsmartdata.com

Re: [Quantlib-users] Unable to calculate DM for Floating rate note with a floor - Please Ignore!!

[Sumit S. <su...@mo...>]

Found Luigi's suggestion here...

https://www.google.com/url?sa=t&source=web&rct=j&url=https://stackoverflow.com/questions/42195781/using-quantlib-to-compute-cash-flows-for-floatingratebond-with-floor&ved=2ahUKEwiRp6CLsdXrAhWEM-wKHQuMBCYQjjgwAHoECAsQAQ&usg=AOvVaw0IgfRAK7_x9qLg-l55bDbb

On Sun, 6 Sep 2020, 21:16 Sumit Sengupta, <su...@mo...> wrote:

> Hi all,
>
>   I am trying to price a Floating rate note (as per the quantlib python cookbook).
>
>   It seems to fail whenever I put a *floor = [0], * with the error...
>
> Traceback (most recent call last):
>   File "C:/Users/sumit/.PyCharm2018.3/config/scratches/scratch_48.py", line 88, in calc_bond_price
>     return (bond.cleanPrice() - price)**2
>   File "C:\Users\sumit\Anaconda3\envs\msq-360-plus\lib\site-packages\QuantLib\QuantLib.py", line 16229, in cleanPrice
>     return _QuantLib.Bond_cleanPrice(self, *args)
> RuntimeError: pricer not set
>
> Note that it fails when I try to fit a discount margin spread over my discount rate curve
>
> *My code is as below....*
>
> forecast_curve = ql.RelinkableYieldTermStructureHandle()
> discount_curve = ql.RelinkableYieldTermStructureHandle()
>
> term_structure_handle, index = generate_swaps_market_data()
> index.addFixing(ql.Date(16, 7, 2020), 0/100)
>
> forecast_curve.linkTo(ql.ZeroSpreadedTermStructure(term_structure_handle, ql.QuoteHandle(ql.SimpleQuote(0.))))
>
> issue_date = ql.Date(19, 1, 2001)
> maturity_date = ql.Date(19, 1, 2031)
>
> schedule = ql.Schedule(issue_date, maturity_date,ql.Period(ql.Quarterly), ql.TARGET(),
>                        ql.Following, ql.Following,ql.DateGeneration.Backward, False)
>
> bond = ql.FloatingRateBond(settlementDays = 2,faceAmount = 100,schedule = schedule,
>                            index = index,paymentDayCounter = ql.Actual360(),
>                            paymentConvention = ql.Following, fixingDays = index.fixingDays(),gearings = [],
>                            spreads = [0.3/10000],caps= [],*floors = [0]*,inArrears = False,redemption = 100.0,issueDate = issue_date
>                            )
>
> bond.setPricingEngine(ql.DiscountingBondEngine(discount_curve))
>
> DM = ql.SimpleQuote(0.0)
> discount_curve.linkTo(ql.ZeroSpreadedTermStructure(forecast_curve,ql.QuoteHandle(DM)))
>
> price=88.466
>
> def calc_bond_price(param):
>     s = param[0]
>     DM.setValue(s)
>     return (bond.cleanPrice() - price)**2
>
> x0=0.0003
> bounds=[[-1000, 1000]]
> res = minimize(calc_bond_price, x0, bounds=bounds)
> print(f"DM:{res.x[0]*10000}")
>
> DM.setValue(res.x[0])
> print(f"clean price:{bond.cleanPrice()}")
>
>
> --
> Mosaic Smart Data
>
> mobile +44 (0)7961839363
> su...@mo...
> 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> www.mosaicsmartdata.com
>

Re: [Quantlib-users] Simulation path

[Amine I. <ami...@gm...>]

Hi Christofer,

The process interface in QL has a Virtual method called evolve() with arguments to “evolve” your simulated variable through time from t to t+dt and is implemented for a variety of models per asset class. I use the discretisation of a time grid and just evolve the process from time point to the next until the last grid point.

Hope this helps,

Amine Ifri

> On 6 Sep 2020, at 21:13, Christofer Bogaso <bog...@gm...> wrote:
> 
> Hi,
> 
> I am wondering if there is any way to get the simulated path generated
> from some stochastic process like GBM with constant volatility and
> Heston.
> 
> I am using Python implementation of Quantlib.
> 
> Any pointer will be highly appreciated.
> 
> Thanks,
> 
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users