I think someone else should jump in here, I am not really a Python expert.
Peter
On 20 September 2014 18:37, KK <[hidden email]> wrote:
> Thanks for replying so fast Peter. I am a little embarrassed to admit my c++
> knowledge is very weak. Do you happen to know the equivalent method for
> retrieving the schedule of implied fixings using python?
> Sent from my BlackBerry device on the Rogers Wireless Network
> ________________________________
> From: "Peter Caspers-4 [via QuantLib]" <[hidden email]>
> Date: Sat, 20 Sep 2014 09:07:22 -0700 (MST)
> To: KK<[hidden email]>> ________________________________> Subject: Re: Changing Second/Third Fixing on Vanilla Swap
>
> I'd take the underlying swap from the swap rate helper with maximum
> maturity ( by calling swap() on this helper ), then get the floating
> leg ( by calling floatingLeg() ), iterate over it to get the coupons (
> you have to cast them with something like
> boost::dynamic_pointer_cast<FloatingRateCoupon>( leg[i] ) ) and ask
> each coupon for the fixing date ( by calling fixingDate() ).
> Peter
>
> On 20 September 2014 17:31, Khalid <[hidden email]> wrote:
>
>> 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
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>>>>
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