Re: qlIborLeg in QuantLibXL returns all forward floating coupons zero!
Posted by
Luigi Ballabio on
Oct 15, 2016; 12:01pm
URL: http://quantlib.414.s1.nabble.com/qlIborLeg-in-QuantLibXL-returns-all-forward-floating-coupons-zero-tp17732p17806.html
Hello Christos,
thanks for providing the Python code. That really makes me easier to see what's happening.
No, it's not a bug. You're passing vectors of zeros for the gearing, the caps and the floors. This means that you're multiplying the rate by zero (the gearing) and furthermore, you're forcing it to be between 0 and 0 (the cap and floor). If you want the default values (gearing=1, no cap, no floor) you need to pass the empty list [] in Python and possibly an empty cell in Excel.
Hope this helps,
Luigi
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
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