> Hi Peter
>
> 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.
>
>
> Many thanks again
>
>
>
> On Sep 20, 2014, at 6:10 AM, Peter Caspers <
[hidden email]> wrote:
>
>> 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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