Bond Discounting Error With QuantLib

Question

I have a list of bond coupons, their maturities and their current price. I want to find their corresponding discount factors. The code I have used is from the QuantLib cookbook, attached below:

from QuantLib import *
data = [(13,0.0509),(44,0.0835),(72,0.0815),(124,0.0808), 
         (150,0.0587),(174,0.0813),(223,0.0396),(263,0.0684),
         (374,0.063),(381,0.0737),(412,0.0426),(415,0.0716), 
         (438,0.0617),(581,0.0448),(604,0.0883),(608,0.0456),
         (624,0.0768),(668,0.0732),(814,0.0735),(850,0.084),( 
         949,0.0618),(959,0.0915)]
today = Date(31,March,2022)
Settings.instance().evaluationDate = today
calendar = India()
settlement = calendar.advance(today, 2, Days)
quotes = [100.02, 100.44 ,100.71 ,101.23 ,100.64 ,101.78 ,99.85, 
        101.73 ,101.72 ,102.78  ,99.62 ,102.70 ,101.67 ,99.90,
        105.95, 99.52 ,104.29 ,104.02 ,104.20 ,106.5,101.90,108.61]
helpers = []
for length, coupon in data:
     for quote in quotes:
           maturity = calendar.advance(settlement, length, Days)
           schedule= Schedule(settlement,maturity,Period(6,Months),
                    calendar, ModifiedFollowing, ModifiedFollowing,
                    DateGeneration.Backward, False)

           quote = SimpleQuote(quote)
           helpers.append(FixedRateBondHelper(QuoteHandle(quote),2, 100,
                schedule, [coupon], SimpleDayCounter(), ModifiedFollowing))
curve = FittedBondDiscountCurve(2, calendar, helpers, SimpleDayCounter(), NelsonSiegelFitting())

print(curve.discount(Date(30,May,2022)))

I am receiving the following error:

RuntimeError: unable to bracket root in 100 function evaluations (last bracket attempt: f[-2.29538e+25,5.968e+25] -> [-nan(ind),102.804])

Unable to understand what the issue is. Hope someone can help me out.

Thanks, Goutham

Answer 1

Your quotes loop is nested inside your data loop, instead of doing both at the same time. You need to zip them together like so:

from QuantLib import *
data = [(13,0.0509),(44,0.0835),(72,0.0815),(124,0.0808), 
         (150,0.0587),(174,0.0813),(223,0.0396),(263,0.0684),
         (374,0.063),(381,0.0737),(412,0.0426),(415,0.0716), 
         (438,0.0617),(581,0.0448),(604,0.0883),(608,0.0456),
         (624,0.0768),(668,0.0732),(814,0.0735),(850,0.084),( 
         949,0.0618),(959,0.0915)]
today = Date(31,March,2022)
Settings.instance().evaluationDate = today
calendar = India()
settlement = calendar.advance(today, 2, Days)
quotes = [100.02, 100.44 ,100.71 ,101.23 ,100.64 ,101.78 ,99.85, 
        101.73 ,101.72 ,102.78  ,99.62 ,102.70 ,101.67 ,99.90,
        105.95, 99.52 ,104.29 ,104.02 ,104.20 ,106.5,101.90,108.61]
helpers = []
for (length, coupon), quote in zip(data, quotes):
       maturity = calendar.advance(settlement, length, Days)
       schedule= Schedule(settlement,maturity,Period(6,Months),
                calendar, ModifiedFollowing, ModifiedFollowing,
                DateGeneration.Backward, False)

       quote = SimpleQuote(quote)
       helpers.append(FixedRateBondHelper(QuoteHandle(quote),2, 100,
            schedule, [coupon], SimpleDayCounter(), ModifiedFollowing))
curve = FittedBondDiscountCurve(2, calendar, helpers, SimpleDayCounter(), NelsonSiegelFitting())

print(curve.discount(Date(30,May,2022)))

giving: 0.9919014655606289