Re: Cash flow schedule from Vanilla Swap

Posted by KK on Sep 19, 2014; 3:05pm
URL: http://quantlib.414.s1.nabble.com/Cash-flow-schedule-from-Vanilla-Swap-tp8425p15880.html

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