Timeline for QuantLib: Problem with IRS valuation
Current License: CC BY-SA 4.0
14 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 20 at 14:28 | history | edited | Kid000 | CC BY-SA 4.0 |
deleted 18 characters in body
|
| Mar 20 at 14:27 | history | edited | Kid000 | CC BY-SA 4.0 |
added 98 characters in body
|
| Mar 20 at 12:49 | history | edited | Kid000 | CC BY-SA 4.0 |
added 527 characters in body
|
| Mar 20 at 12:46 | history | edited | Kid000 | CC BY-SA 4.0 |
added 1158 characters in body
|
| Mar 19 at 17:51 | answer | added | Luigi Ballabio | timeline score: 1 | |
| Mar 19 at 14:00 | comment | added | Kid000 | Thanks Luigi for your response! I corrected the code above. Still there are errors and have no idea how to resolve them. Also could you answer me how ql.sofr() is calculated and whether there is a way to calculate the swap value during its life with past historical rates up until the valuation day? Thank you! | |
| Mar 19 at 13:58 | history | edited | Kid000 | CC BY-SA 4.0 |
added 69 characters in body
|
| Mar 19 at 13:58 | history | edited | Kid000 | CC BY-SA 4.0 |
deleted 745 characters in body
|
| Mar 19 at 12:30 | comment | added | Luigi Ballabio |
This said, if you already have calculated discount factors at a set of dates, you don't need to convert them into rates and go through bootstrapping; you can use DiscountCurve and interpolate them directly.
|
|
| Mar 19 at 12:28 | comment | added | Luigi Ballabio |
I'm guessing you also need import QuantLib as ql, import pandas as pd and import datetime as dt—is that correct?
|
|
| Mar 19 at 12:23 | comment | added | Luigi Ballabio |
As it is, the code is giving different errors than the one you report. First, you're setting the valuation date to August 30th 2023, which causes an error because you get a negative length for the first few dates. I guess you meant June 30th 2023 instead? If I use that valuation date, Python then complains that float_schedule is not defined. If I also fix that, I don't have a pillar error, but rather a convergence error. May you edit your code so that it reproduces your problem? Thanks!
|
|
| Mar 18 at 13:12 | history | edited | Kid000 | CC BY-SA 4.0 |
deleted 6 characters in body
|
| S Mar 18 at 13:04 | review | First questions | |||
| Mar 18 at 17:53 | |||||
| S Mar 18 at 13:04 | history | asked | Kid000 | CC BY-SA 4.0 |