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I am trying to calculate dv01 on the vanilla swap using quantlib but not able to understand how to calculate the fixed_rate. In all the examples it's a hardcoded value which is not right. Any suggestions on how to get the fixed_Rate using the curve, maturity and the effective date? In the below example its 0.05 but should be really a forward rate?

from QuantLib import *

# global data
calendar = TARGET()
todaysDate = Date(16, April, 2021)
Settings.instance().evaluationDate = todaysDate
settlementDate = Date(20, April, 2021)

# market quotes
deposits = {
    (1, Months): 0.04289,
    (3, Months): 0.04289,
    (6, Months): 0.04345,
    (9, Months): 0.04401,

}

swaps = {
    (1, Years): 0.04506,
    (2, Years): 0.04881,
    (3, Years): 0.05262,
    (4, Years): 0.05575,
    (5, Years): 0.05817,
    (7, Years): 0.06212,
    (10, Years): 0.06639,
    (15, Years): 0.07074,
    (20, Years): 0.07303,
    (30, Years): 0.0741}

# convert them to Quote objects
for n, unit in deposits.keys():
    deposits[(n, unit)] = SimpleQuote(deposits[(n, unit)])
for n, unit in swaps.keys():
    swaps[(n, unit)] = SimpleQuote(swaps[(n, unit)])

# build rate helpers

dayCounter = Actual360()
settlementDays = 2
depositHelpers = [DepositRateHelper(QuoteHandle(deposits[(n, unit)]),
                                    Period(n, unit), settlementDays,
                                    calendar, Following,
                                    False, dayCounter)
                  for n, unit in [(1, Months), (3, Months),
                                  (6, Months), (9, Months)]]

fixedLegFrequency = EveryFourthWeek
fixedLegTenor = Period(28, Days)
fixedLegAdjustment = Following
fixedLegDayCounter = Actual360()
floatingLegTenor = Period(28, Days)
floatingLegAdjustment = Following
swapHelpers = [SwapRateHelper(QuoteHandle(swaps[(n, unit)]),
                              Period(n, unit), calendar,
                              fixedLegFrequency, fixedLegAdjustment,
                              fixedLegDayCounter, Euribor6M())
               for n, unit in swaps.keys()]

# term structure handles

discountTermStructure = RelinkableYieldTermStructureHandle()
forecastTermStructure = RelinkableYieldTermStructureHandle()

# term-structure construction

helpers = depositHelpers + swapHelpers
depoSwapCurve = PiecewiseFlatForward(settlementDate, helpers, Actual360())


swapEngine = DiscountingSwapEngine(discountTermStructure)

# 5Y Swap

nominal = 10000000
maturity = Date(10, June, 2026)
fixedRate = 0.05
spread = 0.0

index = Euribor6M(forecastTermStructure)

fixedSchedule = Schedule(settlementDate, maturity,
                         fixedLegTenor, calendar,
                         fixedLegAdjustment, fixedLegAdjustment,
                         DateGeneration.Forward, False)
floatingSchedule = Schedule(settlementDate, maturity,
                            floatingLegTenor, calendar,
                            floatingLegAdjustment, floatingLegAdjustment,
                            DateGeneration.Forward, False)

swap = VanillaSwap(VanillaSwap.Receiver, nominal,
                   fixedSchedule, fixedRate, fixedLegDayCounter,
                   floatingSchedule, index, spread,
                   Actual360())
swap.setPricingEngine(swapEngine)

discountTermStructure.linkTo(depoSwapCurve)
forecastTermStructure.linkTo(depoSwapCurve)
print('NPV')
print(swap.NPV())
print('Rate')
print(swap.fairRate())

shift = 0.0001

temp_fyc_handle = YieldTermStructureHandle(depoSwapCurve)
temp_dyc_handle = YieldTermStructureHandle(depoSwapCurve)
shiftedForwardCurve = ZeroSpreadedTermStructure(temp_fyc_handle, QuoteHandle(SimpleQuote(shift)))
shiftedDiscountCurve = ZeroSpreadedTermStructure(temp_dyc_handle, QuoteHandle(SimpleQuote(shift)))
discountTermStructure.linkTo(shiftedDiscountCurve)
forecastTermStructure.linkTo(shiftedForwardCurve)
P_p = swap.NPV()

temp_fyc_handle = YieldTermStructureHandle(depoSwapCurve)
temp_dyc_handle = YieldTermStructureHandle(depoSwapCurve)
shiftedForwardCurve = ZeroSpreadedTermStructure(temp_fyc_handle, QuoteHandle(SimpleQuote(-shift)))
shiftedDiscountCurve = ZeroSpreadedTermStructure(temp_dyc_handle, QuoteHandle(SimpleQuote(-shift)))
discountTermStructure.linkTo(shiftedDiscountCurve)
forecastTermStructure.linkTo(shiftedForwardCurve)
P_m = swap.NPV()

dv01 = (P_m - P_p) / 2.0
print('Swap DV01')
print(dv01)
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I'm not sure what you are asking, but once you build the swap object, you can query the fixed rate that is defined for that swap:

swap.fixedRate()

Or you can query what is the fair rate for that swap, ie, the rate which would make the market value of the fixed leg equal to the market value of the floating leg:

swap.fairRate()

The example defines the fixed rate as 0.05, but as that is not the fair rate for that particular swap, the NPV will not be zero.

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  • $\begingroup$ Thanks David. By fixed rate I meant the 0.05. At the moment I have just chosen an arbitrary number but in real world how would I calculate that value? Or the alternative can be using a fixed 0.05 and then calculate the swap.fairRate() and then recalculate it by assigning the fixed rate as swap.fairRate()? $\endgroup$
    – Pratikgcet
    Apr 17 at 21:42

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