> Hi Peter
>
> After a little (a lot) of experimentation, I managed to get this working:
>
> for x in schedule:
> print index.fixing(x)
>
> print index.fixing(floatingleg[4].date()) will pull the 5th fixing up if
> needed.
>
> Many thanks for the help here!
>
>
>
>
>
> On Sat, Sep 20, 2014 at 1:08 PM, Peter Caspers-4 [via QuantLib] <[hidden
> email]> wrote:
>>
>> 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>> >>>> Sent from the quantlib-users mailing list archive at Nabble.com.
>> >>>>
>> >>>>
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>> > ________________________________
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>> > Vanilla
>> > Swap
>> >
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>
>
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> View this message in context: Re: Changing Second/Third Fixing on Vanilla
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