Re: qlIborLeg in QuantLibXL returns all forward floating coupons zero!
Posted by chrarv on Oct 14, 2016; 2:37pm
URL: http://quantlib.414.s1.nabble.com/qlIborLeg-in-QuantLibXL-returns-all-forward-floating-coupons-zero-tp17732p17805.html
Hello
Apart the small excel example I have posted I have tried to price a Simple Vanilla amortizing Swap both in C++ and python using the exported bindings
I have remarked and report here! that in both cases (C++ and Python) IborLeg class returns 0 cash flows all the way across the schedule
For your reference in Python I report small piece of code that creates the IborLeg to be passed to the swap class
Assuming the 6M curve is build Euribor6M_curve_c
1.
euribor6M_calc=ql.Euribor6M(ql.YieldTermStructureHandle(Euribor6M_curve_c))
2.
amort_notional= [66552649.72,63806870.94,
61784144.40,60029495.50,
57468704.81,55759411.61,
55712615.57,55404932.02,
54947952.17,54944085.09,
54940218.01,54936350.93,
54926643.75,54582525.94,
54206621.58,53841099.95,
53481292.21,53025949.56,
52572181.43,52084605.00,
51560753.71,50964715.27,
50345757.91,49696416.56,
48995690.04,47915847.64,
47111497.45,46247761.48,
45362609.91,44468182.47,
43569117.10,42996253.76,
42186855.80,40817534.20,
39350991.83,37780135.74,
36955677.69,34646716.19,
31723527.74,27859142.47,
24338697.33,21105866.33,
17461157.37,13352405.80,
8720840.27,5174670.91
]
fixed_coupon_ms=[0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657,0.047657,0.047657,
0.047657]
swap_float_leg=ql.IborLeg(amort_notional,
MS_Float_schedule,
euribor6M_calc,
ql.Actual360(),
ql.ModifiedFollowing,
[fixingDays],
[0], # floors
[0], # Gearings
[0], # Spreads
[0], # caps
False)
the above returns all the coupons as zeros
Is that finally a BUG??
Please advise
Thanks in advance for your help
Christos