Quantlib: how to construct CDOR volatility cube? Getting error when using SwapRateHelper

Question

import QuantLib as ql
import pandas as pd

today = ql.Date().todaysDate()
calendar = ql.Canada()

# Load the CDOR swap rates data into a pandas DataFrame
cdor_data = pd.read_csv('cdor_swap_rates.csv')

# Convert the data into QuantLib objects
cdor_curve = ql.RelinkableYieldTermStructureHandle()
cdor_helpers = []
for i, row in cdor_data.iterrows():
    tenor = ql.Period(row['Term'])
    rate = row['Rate'] / 100.0
    helper = ql.SwapRateHelper(rate, tenor, calendar,
                               ql.Annual, ql.Unadjusted,
                               ql.Thirty360(ql.Thirty360.BondBasis), ql.Cdor, ql.Period('1D'),
                               cdor_curve)
    cdor_helpers.append(helper)

Hey guys, I can't figure out why my SwapRateHelper function is not working, throwing a TypeError: Wrong number or type of arguments for overloaded function 'new_SwapRateHelper'.

Answer 1

Looking at the declaration of the constructor you're using (https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/ratehelpers.i#L236) I see two reasons:

1. you're passing ql.Cdor which is the name of the class. You need to pass ql.Cdor() which is an instance of the index.
2. after the index, the next parameter is a QuoteHandle containing the spread. Even if the spread is 0, that's needed if you're passing the other parameters after this one.