OvernightIndexedSwap in Python

[KK]

Hi All

Is is possible to create an OIS object OvernightIndexedSwap in python?
Creating a curve is possible, but creating a swap and hence finding fairRate() or NPV() is eluding me at the moment.

In the code below I have used "OvernightIndexedSwap" but this is undefined in python quantlib.

Many thanks

from QuantLib import *

settlementDate = Date(18,9,2014);
maturity = Date(18,9,2016)
nominal = 1000000  
fixedRate = 0.025
dayCount = Actual365Fixed()
spread = 0

discountTermStructure = RelinkableYieldTermStructureHandle()
forecastTermStructure = RelinkableYieldTermStructureHandle()  

MyOisHelper = [OISRateHelper( 0, Period(6,Months),QuoteHandle(SimpleQuote(0.02)), Sonia() ),OISRateHelper( 0, Period(3,Years),QuoteHandle(SimpleQuote(0.03)), Sonia() )]

OISSwapCurve = PiecewiseFlatForward(settlementDate,  MyOisHelper, dayCount)

swapEngine = DiscountingSwapEngine(discountTermStructure)

print OISSwapCurve.discount(Date(21,12,2013))

fixedSchedule = Schedule(settlementDate,maturity, Annual, UnitedKingdom(), ModifiedFollowing, ModifiedFollowing, DateGeneration.Forward, False)

ois_swap = OvernightIndexedSwap(OvernightIndexedSwap.Payer, nominal, fixedSchedule, fixedRate, dayCount, Sonia(), spread);

ois_swap.setPricingEngine(swapEngine)

swapEngine = DiscountingSwapEngine(discountTermStructure)

discountTermStructure.linkTo(OISSwapCurve)
forecastTermStructure.linkTo(OISSwapCurve)



print ois_swap.NPV();
print  ois_swap.fairRate();
 

[Luigi Ballabio]

Hello,
    OvernightIndexedSwap is not exported at this time. If you want to
try adding it to the SWIG interfaces, you can look at the way
VanillaSwap is exported and replicate it for OvernightIndexedSwap.
Post here for help if you get stuck.

Luigi


On Sat, Sep 27, 2014 at 2:01 AM, KK <[hidden email]> wrote:

> Hi All
>
> Is is possible to create an OIS object OvernightIndexedSwap in python?
> Creating a curve is possible, but creating a swap and hence finding
> fairRate() or NPV() is eluding me at the moment.
>
> In the code below I have used "OvernightIndexedSwap" but this is undefined
> in python quantlib.
>
> Many thanks
>
> from QuantLib import *
>
> settlementDate = Date(18,9,2014);
> maturity = Date(18,9,2016)
> nominal = 1000000
> fixedRate = 0.025
> dayCount = Actual365Fixed()
> spread = 0
>
> discountTermStructure = RelinkableYieldTermStructureHandle()
> forecastTermStructure = RelinkableYieldTermStructureHandle()
>
> MyOisHelper = [OISRateHelper( 0,
> Period(6,Months),QuoteHandle(SimpleQuote(0.02)), Sonia() ),OISRateHelper( 0,
> Period(3,Years),QuoteHandle(SimpleQuote(0.03)), Sonia() )]
>
> OISSwapCurve = PiecewiseFlatForward(settlementDate,  MyOisHelper, dayCount)
>
> swapEngine = DiscountingSwapEngine(discountTermStructure)
>
> print OISSwapCurve.discount(Date(21,12,2013))
>
> fixedSchedule = Schedule(settlementDate,maturity, Annual, UnitedKingdom(),
> ModifiedFollowing, ModifiedFollowing, DateGeneration.Forward, False)
>
> ois_swap = *OvernightIndexedSwap(OvernightIndexedSwap.Payer*, nominal,
> fixedSchedule, fixedRate, dayCount, Sonia(), spread);
>
> ois_swap.setPricingEngine(swapEngine)
>
> swapEngine = DiscountingSwapEngine(discountTermStructure)
>
> discountTermStructure.linkTo(OISSwapCurve)
> forecastTermStructure.linkTo(OISSwapCurve)
>
>
>
> print ois_swap.NPV();
> print  ois_swap.fairRate();
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/OvernightIndexedSwap-in-Python-tp15920.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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