I have the following problem bootstrapping the JPY OIS Curve. The bootstrapping itself works when havin one set of data, e.g. for the date 2017-02-09. I have all my instruments and as said bootstrapping and receiving the OIS curve. If i extend the dataset to a second date 2017-02-10 I receive all the data into my bootstrapper which makes no sense with the error message:
more than one instrument with pillar February 10th, 2017
which results to the same maturities due to data from different dates as explained above. I have somehow to loop over the fdates but I have no idea how this could work in that context.Help would be appreciated.
import QuantLib as ql
import pandas as pd
import matplotlib.pyplot as plt
def Convert(Period):
unit =[]
if Period[-1:] == 'D':
unit = ql.Days
elif Period[-1:] == 'M':
unit = ql.Months
elif Period[-1:] == 'W':
unit = ql.Weeks
elif Period[-1:] == 'Y':
unit = ql.Years
period_object = ql.Period(int(Period[:-1]), unit)
return period_object
date = ql.Date(9, ql.February, 2017)
ql.Settings.instance().evaluationDate = date
data = pd.read_csv('C:/Data_JPY_Playing.csv').fillna('')
data_selected = data[['fdate', 'ptype' ,'maturity','fixing','values']].to_records(index=False)
Rate_Helper_Full_Disc = []
for fdate, ptype, maturity, fixing, values in data_selected:
if row['ptype'] == 'Deposit':
helper_disc = ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(row['values']/100)),
Convert(row['maturity']),
int(row['fixing']),
ql.Japan(),
ql.ModifiedFollowing,
False,
ql.Actual365Fixed())
Rate_Helper_Full_Disc.append(helper_disc)
disc_curve = ql.PiecewiseCubicZero(date, Rate_Helper_Full_Disc, ql.Actual365Fixed())
disc_curve.enableExtrapolation()