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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()
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1 Answer 1

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A curve is used to do calculations (e.g. discounting of cash flows) as of a given trade date. Bootstrapping a single curve for two different trade dates does not make sense. With the first set of data you should bootstrap an OIS curve for the 2017-02-09 trade date, with the second set of data you should bootstrap an OIS curve for the 2017-02-10 trade date.

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  • $\begingroup$ Why not split your data file in 2, one file per trade date, and then run twice your code, once for date = ql.Date(9, ql.February, 2017), once for date = ql.Date(10, ql.February, 2017) ? That's how it would be done in a real life system. $\endgroup$
    – Antoine Conze
    Feb 6, 2018 at 13:24
  • $\begingroup$ somehow you have to filter out your data = pd.read_csv('C:/Data_JPY_Playing.csv').fillna('') so that it keeps only the data indexed by date. I don't know how it is done in python but that's probably easy to do. $\endgroup$
    – Antoine Conze
    Feb 6, 2018 at 13:31

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