I'm guessing forecastTermStructure is an empty handle.
Luigi
On Sep 19, 2014 6:09 PM, "KK" <[hidden email]> wrote:Hi LuigiMany thanks for helping with this:I triedindex = 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 dereferencedAm i missing parameters in the IborLeg function?ThanksOn 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
<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
>> >> >>
>> >> >>
>> >> >>
>> >> >>
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