http://quantlib.414.s1.nabble.com/Cash-flow-schedule-from-Vanilla-Swap-tp8425p15882.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.
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