I have bootstrapped my curve based on end-of-day data for 24th Nov, 2017
I am then using that to price a off-market swap as below:
swap = VanillaSwap(VanillaSwap.Payer, 10000.0,
fixed_schedule,
fixed_coupon/100,
Thirty360(),
floating_schedule,
index,
0.0, # <-- libor fixing
Actual360())
My swap details are:-
Valuation date: 27th Nov, 2017
Fixed_coupon = 2.2575
Maturity Date = 27th Nov, 2027
float freq = Period(3, Months)
fixed freq = Period(6, Months)
When I call the below:-
swap.NPV()
I get : {Runtime error} 2nd leg: Missing Euribor3M Actual/360 fixing for November 23rd, 2017
Does this mean I have to pass in a libor fixing when I create my VanillaSwap object?