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Accrued Amount for Swaps in Swig

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John Orford

Accrued Amount for Swaps in Swig

Hey Guys,

I have updated swig and compiled it in order to use accruedAmount from Python. See the commits here:

https://github.com/mmport80/quantlib/commit/ec43271ad5f0e099199903836dc4d2be4bf0c336

However, I get zero returned for accrued, using different combinations of the below function call in Python -

CashFlows.accruedAmount(swap.fixedLeg(), True, settlementDate)

Just wondering whether I am missing something straightforward, or whether there are a few leads I can follow before I spend more time troubleshooting...

John

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John Orford

Re: Accrued Amount for Swaps in Swig

OK - stupid mistake - forward starting swaps won't have any accruals until they, errr, start : )

On 4 August 2014 13:37, John Orford <[hidden email]> wrote:

Hey Guys,

I have updated swig and compiled it in order to use accruedAmount from Python. See the commits here:

https://github.com/mmport80/quantlib/commit/ec43271ad5f0e099199903836dc4d2be4bf0c336

However, I get zero returned for accrued, using different combinations of the below function call in Python -

CashFlows.accruedAmount(swap.fixedLeg(), True, settlementDate)

Just wondering whether I am missing something straightforward, or whether there are a few leads I can follow before I spend more time troubleshooting...

John