Cash flow schedule from Vanilla Swap
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Cash flow schedule from Vanilla Swap
 
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Hello,
I have created a Vanilla Swap as follow boost::shared_ptr<VanillaSwap> swap_ptr(new VanillaSwap(swap_type,principal, swaption_FixedSch,strike,swap_FixedLegDc,swaption_FloatingSch, swaption_FloatingLegIndex,0.0,swaption_FloatLegDc)); How can I show the cash flows for each one of the leg? Thanks in advance, P ------------------------------------------------------------------------------ Start uncovering the many advantages of virtual appliances and start using them to simplify application deployment and accelerate your shift to cloud computing. http://p.sf.net/sfu/novell-sfdev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
QLXL-Some of the functions of the samples return an error. Why?
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Dear QL-community
I am using QLXL-0.9.7 and in many occasions, it works perfectly fine. However, some functions do not run in the samples that were installed together with the xll. Here is such an example: In columns 6,7,9,11 (Sheet("Cubic")), I can only see the typical Excel error msg (#VALUE!)... Does anyone get a result? Thank you very much for your time and effort Theo ------------------------------------------------------------------------------ Virtualization is moving to the mainstream and overtaking non-virtualized environment for deploying applications. Does it make network security easier or more difficult to achieve? Read this whitepaper to separate the two and get a better understanding. http://p.sf.net/sfu/hp-phase2-d2d _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Interpolation.xls (121K)
Re: QLXL-Some of the functions of the samples return an error. Why?
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I think this example is stale. If you take the values to be interpolated and transfer them to a range of cells (i.e., C5 to a range like B27:31 and C6 to C27:31) and then supply these ranges to the qlCubinInterpolation function then everything should work fine. I believe this change is necessary because as of March 2009 the Y array can now be an array of Quote's but the automatic conversion from comma delimited array does not work for this type. Best, Bojan -- Bojan Nikolic || http://www.bnikolic.co.uk/ql ------------------------------------------------------------------------------ Virtualization is moving to the mainstream and overtaking non-virtualized environment for deploying applications. Does it make network security easier or more difficult to achieve? Read this whitepaper to separate the two and get a better understanding. http://p.sf.net/sfu/hp-phase2-d2d _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Cash flow schedule from Vanilla Swap
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In reply to this post by tarpanelli@libero.it
On Wed, 2010-09-29 at 18:55 +0200, [hidden email] wrote:
> Hello, > I have created a Vanilla Swap [...]as follow > > boost::shared_ptr<VanillaSwap> swap_ptr(new VanillaSwap(swap_type,principal, > swaption_FixedSch,strike,swap_FixedLegDc,swaption_FloatingSch, > swaption_FloatingLegIndex,0.0,swaption_FloatLegDc)); > > How can I show the cash flows for each one of the leg? swap_ptr->fixedLeg() and swap_ptr->floatingLeg() will give you two vectors of CashFlow instances. Luigi -- The First Rule of Optimization: Don't do it. The Second Rule of Optimization (For experts only): Don't do it yet. -- Michael Jackson ------------------------------------------------------------------------------ Virtualization is moving to the mainstream and overtaking non-virtualized environment for deploying applications. Does it make network security easier or more difficult to achieve? Read this whitepaper to separate the two and get a better understanding. http://p.sf.net/sfu/hp-phase2-d2d _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QLXL-Some of the functions of the samples return an error. Why?
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In reply to this post by Theologis Chapsalis-2
Hi Theo,
> I am using QLXL-0.9.7 and in many occasions, it works perfectly fine. > However, some functions do not run in the samples that were installed > together with the xll. The best example workbooks are YieldTermStructures.xls and InterestRateDerivatives.xls. The others are less well maintained. > > Here is such an example: In columns 6,7,9,11 (Sheet("Cubic")), I can > only see the typical Excel error msg (#VALUE!)... > Does anyone get a result? I just tried that workbook and it works fine for me. Here are the steps I followed: 1) Install QuantLibXL 0.9.7 (binary release) 2) Start Excel 3) Open C:\Program Files\QuantLibXL-0.9.7\xll\QuantLibXL-vc80-mt-s-0_9_7.xll 4) Open C:\Program Files\QuantLibXL-0.9.7\Workbooks\Math\Interpolation.xls 5) Hit Ctrl-Alt-F9 At that point in sheet Cubic all of the formulas return values, no errors. [With one exception, in range =[Interpolation.xls]Cubic!$C$4, the formula should be ohRangeRetrieveError() not ohRetrieveError()] Can you repeat the steps above? At what point do your results differ from mine? I tried the same test for QuantLibXL version 1.0.1 and I get #VALUE but the workaround mentioned separately by Bojan fixes the problem. The comma delimited list of inputs is broken and a fix for this is on my to do list. Thanks, Eric ------------------------------------------------------------------------------ Beautiful is writing same markup. Internet Explorer 9 supports standards for HTML5, CSS3, SVG 1.1, ECMAScript5, and DOM L2 & L3. Spend less time writing and rewriting code and more time creating great experiences on the web. Be a part of the beta today. http://p.sf.net/sfu/beautyoftheweb _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QLXL-Some of the functions of the samples return an error. Why?
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Hi Eric
Thank you very much for your message. Indeed it helps and now I can run the spreadsheet "InterestRatederivatives.xls" without any problem. However I cannot find the spreadsheet "YieldTermStructures.xls". Do you mean "YieldCurveBottstrapping.xls"? Also, it's great that you are strongly contributing to the updates of QLXL ( I saw that the version 1.0.1 has been released). Congratulations! Theo On 06/10/2010 14:38, Eric Ehlers wrote: > Hi Theo, > >> I am using QLXL-0.9.7 and in many occasions, it works perfectly fine. >> However, some functions do not run in the samples that were installed >> together with the xll. > > The best example workbooks are YieldTermStructures.xls and > InterestRateDerivatives.xls. The others are less well maintained. >> >> Here is such an example: In columns 6,7,9,11 (Sheet("Cubic")), I can >> only see the typical Excel error msg (#VALUE!)... >> Does anyone get a result? > > I just tried that workbook and it works fine for me. Here are the > steps I followed: > > 1) Install QuantLibXL 0.9.7 (binary release) > 2) Start Excel > 3) Open C:\Program > Files\QuantLibXL-0.9.7\xll\QuantLibXL-vc80-mt-s-0_9_7.xll > 4) Open C:\Program > Files\QuantLibXL-0.9.7\Workbooks\Math\Interpolation.xls > 5) Hit Ctrl-Alt-F9 > > At that point in sheet Cubic all of the formulas return values, no > errors. > > [With one exception, in range =[Interpolation.xls]Cubic!$C$4, the > formula should be ohRangeRetrieveError() not ohRetrieveError()] > > Can you repeat the steps above? At what point do your results differ > from mine? > > I tried the same test for QuantLibXL version 1.0.1 and I get #VALUE > but the workaround mentioned separately by Bojan fixes the problem. > The comma delimited list of inputs is broken and a fix for this is on > my to do list. > > Thanks, > Eric > ------------------------------------------------------------------------------ Beautiful is writing same markup. Internet Explorer 9 supports standards for HTML5, CSS3, SVG 1.1, ECMAScript5, and DOM L2 & L3. Spend less time writing and rewriting code and more time creating great experiences on the web. Be a part of the beta today. http://p.sf.net/sfu/beautyoftheweb _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QLXL-Some of the functions of the samples return an error. Why?
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Hi Theo,
Quoting Theologis Chapsalis <[hidden email]>: > Thank you very much for your message. Indeed it helps and now I can run > the spreadsheet "InterestRatederivatives.xls" without any problem. > However I cannot find the spreadsheet "YieldTermStructures.xls". Do you > mean "YieldCurveBottstrapping.xls"? I didn't write those workbooks but it seems that for 0.9.7 it's InterestRateDerivatives.xls and YieldCurveBootstrapping.xls, for 1.0.1 it's those two again plus YieldTermStructures.xls. > Also, it's great that you are strongly contributing to the updates of > QLXL ( I saw that the version 1.0.1 has been released). Congratulations! Thanks! Regards, Eric ------------------------------------------------------------------------------ Beautiful is writing same markup. Internet Explorer 9 supports standards for HTML5, CSS3, SVG 1.1, ECMAScript5, and DOM L2 & L3. Spend less time writing and rewriting code and more time creating great experiences on the web. Be a part of the beta today. http://p.sf.net/sfu/beautyoftheweb _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by Luigi Ballabio
Is there a way to get this vector of cashflows in Python QL? fixedSchedule = Schedule(settlementDate, maturity, fixedLegTenor, calendar, fixedLegAdjustment, fixedLegAdjustment, DateGeneration.Forward, False) print [x for x in fixedSchedule] will return the dates, but without the cashflows. Thanks KK
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Re: Cash flow schedule from Vanilla Swap
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That code is just building a schedule (i.e., a sequence of dates), not
a sequence of cash flows. You're not passing any rates or day-count convention, for example. >From Python, you can use the FixedRateLeg function to create the cashflows. Given the schedule you've created, you can call it as cfs = FixedRateLeg(fixedSchedule, dayCounter, nominals, rates) for c in cfs: print c.date(), c.amount() where nominals and rates are two Python lists. Luigi On Thu, Sep 18, 2014 at 4:20 AM, KK <[hidden email]> wrote: > > Is there a way to get this vector of cashflows in Python QL? > > fixedSchedule = Schedule(settlementDate, maturity, > fixedLegTenor, calendar, > fixedLegAdjustment, fixedLegAdjustment, > DateGeneration.Forward, False) > > print [x for x in fixedSchedule] > > will return the dates, but without the cashflows. > > Thanks > > KK > Luigi Ballabio wrote >> On Wed, 2010-09-29 at 18:55 +0200, > >> tarpanelli@ > >> wrote: >>> Hello, >>> I have created a Vanilla Swap [...]as follow >>> >>> boost::shared_ptr >> <VanillaSwap> >> swap_ptr(new VanillaSwap(swap_type,principal, >>> swaption_FixedSch,strike,swap_FixedLegDc,swaption_FloatingSch, >>> swaption_FloatingLegIndex,0.0,swaption_FloatLegDc)); >>> >>> How can I show the cash flows for each one of the leg? >> >> swap_ptr->fixedLeg() and swap_ptr->floatingLeg() will give you two >> vectors of CashFlow instances. >> >> Luigi >> >> >> -- >> >> The First Rule of Optimization: Don't do it. >> The Second Rule of Optimization (For experts only): Don't do it yet. >> -- Michael Jackson >> >> >> >> ------------------------------------------------------------------------------ >> Virtualization is moving to the mainstream and overtaking non-virtualized >> environment for deploying applications. Does it make network security >> easier or more difficult to achieve? Read this whitepaper to separate the >> two and get a better understanding. >> http://p.sf.net/sfu/hp-phase2-d2d >> _______________________________________________ >> QuantLib-users mailing list > >> QuantLib-users@.sourceforge > >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > > > -- > View this message in context: http://quantlib.10058.n7.nabble.com/Cash-flow-schedule-from-Vanilla-Swap-tp8425p15873.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > Want excitement? > Manually upgrade your production database. > When you want reliability, choose Perforce > Perforce version control. Predictably reliable. > http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Slashdot TV. Video for Nerds. Stuff that Matters. http://pubads.g.doubleclick.net/gampad/clk?id=160591471&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Luigi Thanks for the quick reply. I still get an error: nominal = 1000000 maturity = Date(swap_date.day,swap_date.month,swap_date.year) payFixed = True fixedRate = 0.04 floatingLegFrequency = Semiannual spread = 0.0 fixingDays = 0 index = GBPLibor(floatingLegTenor,forecastTermStructure) floatingLegAdjustment = ModifiedFollowing floatingLegDayCounter = index.dayCounter() fixedSchedule = Schedule(settlementDate, maturity, fixedLegTenor, calendar, fixedLegAdjustment, fixedLegAdjustment, DateGeneration.Forward, False) floatingSchedule = Schedule(settlementDate, maturity, floatingLegTenor, calendar, floatingLegAdjustment, floatingLegAdjustment, DateGeneration.Forward, False) spot = VanillaSwap(VanillaSwap.Payer, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatingSchedule, index, spread, floatingLegDayCounter) spot.setPricingEngine(swapEngine) cfs = FixedRateLeg(fixedSchedule, dayCounter, nominal, fixedRate) for c in cfs: print c.date(), c.amount() cfls = FixedRateLeg(floatingSchedule, dayCounter, nominal, index) for c in cfls: print c.date(), c.amount() cfs = FixedRateLeg(fixedSchedule, dayCounter, nominal, fixedRate) TypeError: in method 'FixedRateLeg', argument 3 of type 'std::vector< Real,std::allocator< Real > > const &' I assume that the last argument i pass is incorrect. Any idea what it should be? Thanks On Fri, Sep 19, 2014 at 10:56 AM, Luigi Ballabio [via QuantLib] <[hidden email]> wrote: That code is just building a schedule (i.e., a sequence of dates), not |
Re: Cash flow schedule from Vanilla Swap
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As I said, nominals and rates must be two Python lists.
Luigi On Fri, Sep 19, 2014 at 5:05 PM, KK <[hidden email]> wrote: > Hi Luigi > > Thanks for the quick reply. I still get an error: > > nominal = 1000000 > > maturity = Date(swap_date.day,swap_date.month,swap_date.year) > payFixed = True > > > > > fixedRate = 0.04 > > floatingLegFrequency = Semiannual > spread = 0.0 > fixingDays = 0 > index = GBPLibor(floatingLegTenor,forecastTermStructure) > floatingLegAdjustment = ModifiedFollowing > floatingLegDayCounter = index.dayCounter() > > fixedSchedule = Schedule(settlementDate, maturity, > fixedLegTenor, calendar, > fixedLegAdjustment, fixedLegAdjustment, > DateGeneration.Forward, False) > floatingSchedule = Schedule(settlementDate, maturity, > floatingLegTenor, calendar, > floatingLegAdjustment, > floatingLegAdjustment, > DateGeneration.Forward, False) > > > spot = VanillaSwap(VanillaSwap.Payer, nominal, > fixedSchedule, fixedRate, fixedLegDayCounter, > floatingSchedule, index, spread, > floatingLegDayCounter) > spot.setPricingEngine(swapEngine) > > cfs = FixedRateLeg(fixedSchedule, dayCounter, nominal, fixedRate) > > for c in cfs: > print c.date(), c.amount() > > cfls = FixedRateLeg(floatingSchedule, dayCounter, nominal, index) > > for c in cfls: > print c.date(), c.amount() > > cfs = FixedRateLeg(fixedSchedule, dayCounter, nominal, fixedRate) > TypeError: in method 'FixedRateLeg', argument 3 of type 'std::vector< > Real,std::allocator< Real > > const &' > > I assume that the last argument i pass is incorrect. Any idea what it should > be? > > Thanks > > > > On Fri, Sep 19, 2014 at 10:56 AM, Luigi Ballabio [via QuantLib] <[hidden > email]> wrote: >> >> That code is just building a schedule (i.e., a sequence of dates), not >> a sequence of cash flows. You're not passing any rates or day-count >> convention, for example. >> >> >From Python, you can use the FixedRateLeg function to create the >> cashflows. Given the schedule you've created, you can call it as >> >> cfs = FixedRateLeg(fixedSchedule, dayCounter, nominals, rates) >> >> for c in cfs: >> print c.date(), c.amount() >> >> where nominals and rates are two Python lists. >> >> Luigi >> >> >> >> On Thu, Sep 18, 2014 at 4:20 AM, KK <[hidden email]> wrote: >> >> > >> > Is there a way to get this vector of cashflows in Python QL? >> > >> > fixedSchedule = Schedule(settlementDate, maturity, >> > fixedLegTenor, calendar, >> > fixedLegAdjustment, fixedLegAdjustment, >> > DateGeneration.Forward, False) >> > >> > print [x for x in fixedSchedule] >> > >> > will return the dates, but without the cashflows. >> > >> > Thanks >> > >> > KK >> > Luigi Ballabio wrote >> >> On Wed, 2010-09-29 at 18:55 +0200, >> > >> >> tarpanelli@ >> > >> >> wrote: >> >>> Hello, >> >>> I have created a Vanilla Swap [...]as follow >> >>> >> >>> boost::shared_ptr >> >> <VanillaSwap> >> >> swap_ptr(new VanillaSwap(swap_type,principal, >> >>> swaption_FixedSch,strike,swap_FixedLegDc,swaption_FloatingSch, >> >>> swaption_FloatingLegIndex,0.0,swaption_FloatLegDc)); >> >>> >> >>> How can I show the cash flows for each one of the leg? >> >> >> >> swap_ptr->fixedLeg() and swap_ptr->floatingLeg() will give you two >> >> vectors of CashFlow instances. >> >> >> >> Luigi >> >> >> >> >> >> -- >> >> >> >> The First Rule of Optimization: Don't do it. >> >> The Second Rule of Optimization (For experts only): Don't do it yet. >> >> -- Michael Jackson >> >> >> >> >> >> >> >> >> >> ------------------------------------------------------------------------------ >> >> Virtualization is moving to the mainstream and overtaking >> >> non-virtualized >> >> environment for deploying applications. Does it make network security >> >> easier or more difficult to achieve? Read this whitepaper to separate >> >> the >> >> two and get a better understanding. >> >> http://p.sf.net/sfu/hp-phase2-d2d >> >> _______________________________________________ >> >> QuantLib-users mailing list >> > >> >> QuantLib-users@.sourceforge >> > >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > >> > >> > >> > >> > >> > -- >> > View this message in context: >> > http://quantlib.10058.n7.nabble.com/Cash-flow-schedule-from-Vanilla-Swap-tp8425p15873.html >> > Sent from the quantlib-users mailing list archive at Nabble.com. >> > >> > >> > ------------------------------------------------------------------------------ >> > Want excitement? >> > Manually upgrade your production database. >> > When you want reliability, choose Perforce >> > Perforce version control. Predictably reliable. >> > >> > http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk >> > _______________________________________________ >> > QuantLib-users mailing list >> > [hidden email] >> > https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> >> >> -- >> <https://implementingquantlib.blogspot.com> >> <https://twitter.com/lballabio> >> >> >> ------------------------------------------------------------------------------ >> Slashdot TV. Video for Nerds. Stuff that Matters. >> >> http://pubads.g.doubleclick.net/gampad/clk?id=160591471&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> >> ________________________________ >> If you reply to this email, your message will be added to the discussion >> below: >> >> http://quantlib.10058.n7.nabble.com/Cash-flow-schedule-from-Vanilla-Swap-tp8425p15879.html >> To unsubscribe from Cash flow schedule from Vanilla Swap, click here. >> NAML > > > > ________________________________ > View this message in context: Re: Cash flow schedule from Vanilla Swap > > Sent from the quantlib-users mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > Slashdot TV. Video for Nerds. Stuff that Matters. > http://pubads.g.doubleclick.net/gampad/clk?id=160591471&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Slashdot TV. Video for Nerds. Stuff that Matters. http://pubads.g.doubleclick.net/gampad/clk?id=160591471&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Luigi So for the fixed leg, this works! nominal = 1000000 fixedRate = 0.04 nominals =[nominal for x in fixedSchedule] rates =[fixedRate for x in fixedSchedule] cfs = FixedRateLeg(fixedSchedule, dayCounter, nominals, rates) for c in cfs: print c.date(), c.amount() Is there a way of passing the floating leg schedule of rates? cfls = FixedRateLeg(floatingSchedule, dayCounter, nominals, index) for c in cfls: print c.date(), c.amount() Thanks again! On Fri, Sep 19, 2014 at 11:17 AM, Luigi Ballabio [via QuantLib] <[hidden email]> wrote: As I said, nominals and rates must be two Python lists. |
Re: Cash flow schedule from Vanilla Swap
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Use IborLeg to build the other leg. You can check its interface in
<QuantLib-SWIG/SWIG/cashflows.i>. Luigi On Fri, Sep 19, 2014 at 5:22 PM, KK <[hidden email]> wrote: > Hi Luigi > > So for the fixed leg, this works! > nominal = 1000000 > fixedRate = 0.04 > > nominals =[nominal for x in fixedSchedule] > rates =[fixedRate for x in fixedSchedule] > > cfs = FixedRateLeg(fixedSchedule, dayCounter, nominals, rates) > > for c in cfs: > print c.date(), c.amount() > > > > Is there a way of passing the floating leg schedule of rates? > > cfls = FixedRateLeg(floatingSchedule, dayCounter, nominals, index) > > for c in cfls: > print c.date(), c.amount() > > Thanks again! > > On Fri, Sep 19, 2014 at 11:17 AM, Luigi Ballabio [via QuantLib] <[hidden > email]> wrote: >> >> As I said, nominals and rates must be two Python lists. >> >> Luigi >> >> On Fri, Sep 19, 2014 at 5:05 PM, KK <[hidden email]> wrote: >> >> > Hi Luigi >> > >> > Thanks for the quick reply. I still get an error: >> > >> > nominal = 1000000 >> > >> > maturity = Date(swap_date.day,swap_date.month,swap_date.year) >> > payFixed = True >> > >> > >> > >> > >> > fixedRate = 0.04 >> > >> > floatingLegFrequency = Semiannual >> > spread = 0.0 >> > fixingDays = 0 >> > index = GBPLibor(floatingLegTenor,forecastTermStructure) >> > floatingLegAdjustment = ModifiedFollowing >> > floatingLegDayCounter = index.dayCounter() >> > >> > fixedSchedule = Schedule(settlementDate, maturity, >> > fixedLegTenor, calendar, >> > fixedLegAdjustment, fixedLegAdjustment, >> > DateGeneration.Forward, False) >> > floatingSchedule = Schedule(settlementDate, maturity, >> > floatingLegTenor, calendar, >> > floatingLegAdjustment, >> > floatingLegAdjustment, >> > DateGeneration.Forward, False) >> > >> > >> > spot = VanillaSwap(VanillaSwap.Payer, nominal, >> > fixedSchedule, fixedRate, fixedLegDayCounter, >> > floatingSchedule, index, spread, >> > floatingLegDayCounter) >> > spot.setPricingEngine(swapEngine) >> > >> > cfs = FixedRateLeg(fixedSchedule, dayCounter, nominal, fixedRate) >> > >> > for c in cfs: >> > print c.date(), c.amount() >> > >> > cfls = FixedRateLeg(floatingSchedule, dayCounter, nominal, index) >> > >> > for c in cfls: >> > print c.date(), c.amount() >> > >> > cfs = FixedRateLeg(fixedSchedule, dayCounter, nominal, fixedRate) >> > TypeError: in method 'FixedRateLeg', argument 3 of type 'std::vector< >> > Real,std::allocator< Real > > const &' >> > >> > I assume that the last argument i pass is incorrect. Any idea what it >> > should >> > be? >> > >> > Thanks >> > >> > >> > >> > On Fri, Sep 19, 2014 at 10:56 AM, Luigi Ballabio [via QuantLib] <[hidden >> >> > email]> wrote: >> >> >> >> That code is just building a schedule (i.e., a sequence of dates), not >> >> a sequence of cash flows. You're not passing any rates or day-count >> >> convention, for example. >> >> >> >> >From Python, you can use the FixedRateLeg function to create the >> >> cashflows. Given the schedule you've created, you can call it as >> >> >> >> cfs = FixedRateLeg(fixedSchedule, dayCounter, nominals, rates) >> >> >> >> for c in cfs: >> >> print c.date(), c.amount() >> >> >> >> where nominals and rates are two Python lists. >> >> >> >> Luigi >> >> >> >> >> >> >> >> On Thu, Sep 18, 2014 at 4:20 AM, KK <[hidden email]> wrote: >> >> >> >> > >> >> > Is there a way to get this vector of cashflows in Python QL? >> >> > >> >> > fixedSchedule = Schedule(settlementDate, maturity, >> >> > fixedLegTenor, calendar, >> >> > fixedLegAdjustment, fixedLegAdjustment, >> >> > DateGeneration.Forward, False) >> >> > >> >> > print [x for x in fixedSchedule] >> >> > >> >> > will return the dates, but without the cashflows. >> >> > >> >> > Thanks >> >> > >> >> > KK >> >> > Luigi Ballabio wrote >> >> >> On Wed, 2010-09-29 at 18:55 +0200, >> >> > >> >> >> tarpanelli@ >> >> > >> >> >> wrote: >> >> >>> Hello, >> >> >>> I have created a Vanilla Swap [...]as follow >> >> >>> >> >> >>> boost::shared_ptr >> >> >> <VanillaSwap> >> >> >> swap_ptr(new VanillaSwap(swap_type,principal, >> >> >>> swaption_FixedSch,strike,swap_FixedLegDc,swaption_FloatingSch, >> >> >>> swaption_FloatingLegIndex,0.0,swaption_FloatLegDc)); >> >> >>> >> >> >>> How can I show the cash flows for each one of the leg? >> >> >> >> >> >> swap_ptr->fixedLeg() and swap_ptr->floatingLeg() will give you two >> >> >> vectors of CashFlow instances. >> >> >> >> >> >> Luigi >> >> >> >> >> >> >> >> >> -- >> >> >> >> >> >> The First Rule of Optimization: Don't do it. >> >> >> The Second Rule of Optimization (For experts only): Don't do it yet. >> >> >> -- Michael Jackson >> >> >> >> >> >> >> >> >> >> >> >> >> >> >> >> >> >> ------------------------------------------------------------------------------ >> >> >> Virtualization is moving to the mainstream and overtaking >> >> >> non-virtualized >> >> >> environment for deploying applications. Does it make network >> >> >> security >> >> >> easier or more difficult to achieve? Read this whitepaper to >> >> >> separate >> >> >> the >> >> >> two and get a better understanding. >> >> >> http://p.sf.net/sfu/hp-phase2-d2d >> >> >> _______________________________________________ >> >> >> QuantLib-users mailing list >> >> > >> >> >> QuantLib-users@.sourceforge >> >> > >> >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> > >> >> > >> >> > >> >> > >> >> > >> >> > -- >> >> > View this message in context: >> >> > >> >> > http://quantlib.10058.n7.nabble.com/Cash-flow-schedule-from-Vanilla-Swap-tp8425p15873.html >> >> > Sent from the quantlib-users mailing list archive at Nabble.com. >> >> > >> >> > >> >> > >> >> > ------------------------------------------------------------------------------ >> >> > Want excitement? >> >> > Manually upgrade your production database. >> >> > When you want reliability, choose Perforce >> >> > Perforce version control. Predictably reliable. >> >> > >> >> > >> >> > http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk >> >> > _______________________________________________ >> >> > QuantLib-users mailing list >> >> > [hidden email] >> >> > https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> >> >> >> >> >> >> -- >> >> <https://implementingquantlib.blogspot.com> >> >> <https://twitter.com/lballabio> >> >> >> >> >> >> >> >> ------------------------------------------------------------------------------ >> >> Slashdot TV. Video for Nerds. Stuff that Matters. >> >> >> >> >> >> http://pubads.g.doubleclick.net/gampad/clk?id=160591471&iu=/4140/ostg.clktrk >> >> _______________________________________________ >> >> QuantLib-users mailing list >> >> [hidden email] >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> >> >> >> >> ________________________________ >> >> If you reply to this email, your message will be added to the >> >> discussion >> >> below: >> >> >> >> >> >> http://quantlib.10058.n7.nabble.com/Cash-flow-schedule-from-Vanilla-Swap-tp8425p15879.html >> >> To unsubscribe from Cash flow schedule from Vanilla Swap, click here. >> >> NAML >> > >> > >> > >> > ________________________________ >> > View this message in context: Re: Cash flow schedule from Vanilla Swap >> > >> > Sent from the quantlib-users mailing list archive at Nabble.com. >> > >> > >> > ------------------------------------------------------------------------------ >> > Slashdot TV. Video for Nerds. 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Stuff that Matters. > http://pubads.g.doubleclick.net/gampad/clk?id=160591471&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Slashdot TV. Video for Nerds. Stuff that Matters. http://pubads.g.doubleclick.net/gampad/clk?id=160591471&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Luigi Many thanks for helping with this: I tried index = GBPLibor(floatingLegTenor,forecastTermStructure) floatingSchedule = Schedule(settlementDate, maturity, floatingLegTenor, calendar, floatingLegAdjustment, floatingLegAdjustment, DateGeneration.Forward, False) fnominals =[nominal for x in floatingSchedule] floatingrates = IborLeg(fnominals[:-1],floatingSchedule,index,dayCounter) for c in floatingrates: print c.date(),c.amount() c.date works fine, but for c.amount() an error is returned: c.amount() RuntimeError: empty Handle cannot be dereferenced Am i missing parameters in the IborLeg function? Thanks On Fri, Sep 19, 2014 at 11:29 AM, Luigi Ballabio [via QuantLib] <[hidden email]> wrote: Use IborLeg to build the other leg. You can check its interface in |
Re: Cash flow schedule from Vanilla Swap
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I'm guessing forecastTermStructure is an empty handle. Luigi On Sep 19, 2014 6:09 PM, "KK" <[hidden email]> wrote:
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Thanks again for persisting with me on this Luigi! discountTermStructure = RelinkableYieldTermStructureHandle() forecastTermStructure = RelinkableYieldTermStructureHandle() swapEngine = DiscountingSwapEngine(discountTermStructure) and i can debug to show: forecastTermStructure RelinkableYieldTermStructureHandle: <QuantLib.QuantLib.RelinkableYieldTermStructureHandle; proxy of <Swig Object of type 'RelinkableHandle< YieldTermStructure > *' at 0x09C97AB8> > I found this snippet, which create IborLegin the same way: floatingleg=IborLeg(nominals,schedule,index,Actual360()) and doesn't refer to forecastTermStructure again in the code. Any ideas what the fix might be? Thanks On Fri, Sep 19, 2014 at 12:11 PM, Luigi Ballabio [via QuantLib] <[hidden email]> wrote:
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Re: Cash flow schedule from Vanilla Swap
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forecastTermStructure,linkTo(curve) where curve is whatever term structure you're using to forecast Libor fixings. Look at the swap example. Luigi On Sep 19, 2014 6:25 PM, "KK" <[hidden email]> wrote:
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Hi Luigi Many thanks for your help and patience with this - I finally managed to get it work by ensuring I had forecastTermStructure,linkTo(curve) in the right place! Thanks again! On Fri, Sep 19, 2014 at 12:47 PM, Luigi Ballabio [via QuantLib] <[hidden email]> wrote:
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