http://quantlib.414.s1.nabble.com/Changing-Second-Third-Fixing-on-Vanilla-Swap-tp15890p15892.html
Many thanks for the quick and detailed reply. I suspect a simpler solution will be to use the cash flow date schedule specified by the curve and create cashflows myself from my own list of fixings that I want to use.
As an aside, is there a way of creating the schedule of 6mth fixings implied by the swap curve? I am able to back out the number using the nominal amount, the cash flow amount and the days accrued period, but wonder if there is a way of directly calling all the fixings on the floating leg.
> Hi Khalid,
>
> the InterestRateIndex class never takes fixings for future dates (i.e.
> dates bigger than the evaluation date set in the settings) into
> account. In derived classes like IborIndex or SwapIndex they are
> estimated on a curve you can attach to the index, so if you want to
> compute scenarios where future fixings are shifted, you probably have
> to do appropriate shifts on the curve.
>
> The evaluation date itself plays a special role (since fixings are
> usually available only after a certain time of the day). With the
> setting enforceTodaysHistoricFixing you can require that on the
> evaluation date a fixing must be used, and if this is not available,
> an exception is thrown. This is for example useful if you have an end
> of day processing where you know that the fixing should be available.
> The default value is false though, allowing to take a fixing into
> account if available and otherwise estimate it on a curve.
>
> Finally the forecastFixing method in InterestRateIndex has a flag
> forecastTodaysFixing (defaulted to false) which if true enforces
> estimation on a curve even if the fixing is available. This is for
> example useful if you don't want to nail today's fixing during
> sensitivities calculation.
>
> Peter
>
>
> On 20 September 2014 05:52, KK <
[hidden email]> wrote:
>> This code example from:
>>
>>
https://github.com/alexpoly/quant-snippets-python-c/blob/master/amortizing%20swap%20valuation%20quantlib.py>>
>>
>> from QuantLib import *
>> import numpy as np
>> from math import *
>>
>> todaysDate=Date(31,12,2013)
>> startDate=todaysDate
>> Settings.instance().evaluationDate=todaysDate;
>> crvToday=FlatForward(todaysDate,0.0121,Actual365Fixed())
>> forecastTermStructure = RelinkableYieldTermStructureHandle()
>> index = GBPLibor(Period("6m"),forecastTermStructure)
>> maturity = Date(31,12,2018);
>> schedule = Schedule(startDate,
>> maturity,Period("6m"),UnitedKingdom(),ModifiedFollowing,ModifiedFollowing,DateGeneration.Forward,
>> False)
>> nominals=[100.0]*10
>> couponRates=[0.05]*10
>> floatingleg=IborLeg(nominals,schedule,index,Actual365Fixed())
>> fixedleg=FixedRateLeg(schedule,Actual365Fixed(),nominals,couponRates)
>>
>> index.addFixing(index.fixingDate(schedule[0]),0.01)
>> #index.addFixing(index.fixingDate(schedule[1]),0.01)
>>
>> swap1=Swap(floatingleg,fixedleg)
>> discountTermStructure = RelinkableYieldTermStructureHandle()
>> swapEngine = DiscountingSwapEngine(discountTermStructure)
>> swap1.setPricingEngine(swapEngine)
>> discountTermStructure.linkTo(crvToday)
>> forecastTermStructure.linkTo(crvToday)
>> for x in floatingleg:
>> print x.date(), x.amount()
>>
>>
>> can show the floating cashflows on a vanilla swap. By including the line:
>>
>> index.addFixing(index.fixingDate(schedule[0]),0.01)
>>
>> I can change the first fixing to 1%
>>
>> How can I *also *change the second fixing to 1.5%?
>>
>> index.addFixing(index.fixingDate(schedule[1]),0.015)
>>
>> has no effect.
>>
>> Thanks
>>
>>
>>
>>
>> --
>> View this message in context:
http://quantlib.10058.n7.nabble.com/Changing-Second-Third-Fixing-on-Vanilla-Swap-tp15890.html>> Sent from the quantlib-users mailing list archive at Nabble.com.
>>
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