http://quantlib.414.s1.nabble.com/Pricing-a-vanilla-swap-with-a-given-zero-curve-instead-of-boostrapping-tp14987p14989.html
I haven' t run your code. However I saw that you have set fixing days = 0. Since as far as I know quantlib's convention for libor is not 0 for fixing days, the error may be due to that. Quantlib will complain no historical fixing has been given.
> 在 2014年2月19日，8:59，semiparametric <
[hidden email]> 写道：
>
> Dear All:
>
> I am a newbie to quantlib. I run below code to price a vanilla swap with a
> given zero curve. The code can be complied smoothly, however, when I tried
> to run the programme, something went wrong, and the NPV couldn't be
> generated. Could anyone give me a hint on how to revise the code? Thanks in
> advance.
>
>
> #include <fstream>
> #include <vector>
> #include <ql/quantlib.hpp>
>
> using namespace QuantLib;
>
> #if defined(QL_ENABLE_SESSIONS)
> namespace QuantLib {
>
> Integer sessionId() { return 0; }
>
> }
> #endif
>
> int main(int, char*[])
>
> { /////////////////////////////////// Settings
> ///////////////////////////////
>
> Calendar calendar = TARGET();
> Date settlementDate(15, October, 2013);
> // must be a business day
> settlementDate = calendar.adjust(settlementDate);
>
> Integer fixingDays = 0;
> Date todaysDate = calendar.advance(settlementDate, -fixingDays,
> Days);
> // nothing to do with Date::todaysDate
> Settings::instance().evaluationDate() = todaysDate;
>
>
> // LIBOR Curve
>
> std::vector<Date> dates;
> std::vector<Rate> rates;
> dates.push_back(settlementDate);
> rates.push_back(0.26/100.0);
> dates.push_back(calendar.advance(settlementDate,3,Months));
> rates.push_back(0.26/100.0);
> dates.push_back(calendar.advance(settlementDate,6,Months));
> rates.push_back(0.412/100.0);
> dates.push_back(calendar.advance(settlementDate,9,Months));
> rates.push_back(0.572/100.0);
> dates.push_back(calendar.advance(settlementDate,1,Years));
> rates.push_back(0.735/100.0);
> dates.push_back(calendar.advance(settlementDate,2,Years));
> rates.push_back(0.715/100.0);
> dates.push_back(calendar.advance(settlementDate,3,Years));
> rates.push_back(1.173/100.0);
> dates.push_back(calendar.advance(settlementDate,4,Years));
> rates.push_back(1.621/100.0);
> dates.push_back(calendar.advance(settlementDate,5,Years));
> rates.push_back(2.027/100.0);
> dates.push_back(calendar.advance(settlementDate,6,Years));
> rates.push_back(2.372/100.0);
> dates.push_back(calendar.advance(settlementDate,7,Years));
> rates.push_back(2.654/100.0);
> dates.push_back(calendar.advance(settlementDate,8,Years));
> rates.push_back(2.884/100.0);
> dates.push_back(calendar.advance(settlementDate,9,Years));
> rates.push_back(3.072/100.0);
> dates.push_back(calendar.advance(settlementDate,10,Years));
> rates.push_back(3.227/100.0);
>
> //daycounter for the curve inputed.
> DayCounter dayCounter = Actual360();
> boost::shared_ptr<YieldTermStructure> LiborCurvePtr(
> new InterpolatedZeroCurve<LogLinear>(dates, rates,
> dayCounter));
>
>
> Handle<YieldTermStructure> liborTS(LiborCurvePtr);
> boost::shared_ptr<IborIndex> index(
> new USDLibor(Period(3, Months), liborTS));
>
> /*********************
> * SWAPS TO BE PRICED *
> **********************/
>
> // constant nominal 1,000,000 Euro
> Real nominal = 1000000.0;
> // fixed leg
> Frequency fixedLegFrequency =Quarterly;
> BusinessDayConvention fixedLegConvention = Unadjusted;
> BusinessDayConvention floatingLegConvention = ModifiedFollowing;
> DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
> Rate fixedRate = 0.04;
> DayCounter floatingLegDayCounter = Actual360();
>
> // floating leg
> Frequency floatingLegFrequency = Quarterly;
> Spread spread = 0.0;
>
> Integer lenghtInYears = 5;
> VanillaSwap::Type swapType = VanillaSwap::Payer;
>
> Date maturity = settlementDate + lenghtInYears*Years;
> Schedule fixedSchedule(settlementDate, maturity,
> Period(fixedLegFrequency),
> calendar, fixedLegConvention,
> fixedLegConvention,
> DateGeneration::Forward,false);
> Schedule floatSchedule(settlementDate, maturity,
> Period(floatingLegFrequency),
> calendar, floatingLegConvention,
> floatingLegConvention,
> DateGeneration::Forward,false);
> VanillaSwap spot5YearSwap(swapType, nominal,
> fixedSchedule, fixedRate, fixedLegDayCounter,
> floatSchedule, index, spread,
> floatingLegDayCounter);
>
> spot5YearSwap.setPricingEngine(boost::shared_ptr<PricingEngine>(
> new
> DiscountingSwapEngine(liborTS,false,settlementDate,settlementDate)));
> /***************
> * SWAP PRICING *
> ****************/
>
> // utilities for reporting
> std::vector<std::string> headers(4);
> headers[0] = "term structure";
> headers[1] = "net present value";
> headers[2] = "fair spread";
> headers[3] = "fair fixed rate";
> std::string separator = " | ";
> Size width = headers[0].size() + separator.size()
> + headers[1].size() + separator.size()
> + headers[2].size() + separator.size()
> + headers[3].size() + separator.size() - 1;
> std::string rule(width, '-'), dblrule(width, '=');
> std::string tab(8, ' ');
>
> Real NPV;
> Rate fairRate;
> Spread fairSpread;
>
> NPV = spot5YearSwap.NPV();
> fairSpread = spot5YearSwap.fairSpread();
> fairRate = spot5YearSwap.fairRate();
>
> std::cout << std::setw(headers[0].size())
> << "Spot-swap" << separator;
> std::cout << std::setw(headers[1].size())
> << std::fixed << std::setprecision(2) << NPV << separator;
> std::cout << std::setw(headers[2].size())
> << io::rate(fairSpread) << separator;
> std::cout << std::setw(headers[3].size())
> << io::rate(fairRate) << separator;
> std::cout << std::endl;
>
> std::cin.get();
>
> return 0;
>
> }
>
>
>
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Pricing-a-vanilla-swap-with-a-given-zero-curve-instead-of-boostrapping-tp14987.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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