QuantLib: How to price or construct a zero coupon swap using Quantlib

Question

I am trying to construct and price the zero coupon swap. However its giving me the AttributeError: module 'Quantlib' has no attribute 'ZeroCouponSwap'. Please let me know how to price the zero coupon swap using below details.

# construct discount curve and libor curve

maturity = []
discountfactor = []
day_count = ql.Actual360()
calendar = ql.JointCalendar(ql.UnitedStates(), ql.UnitedKingdom())
yield_curve = ql.DiscountCurve(maturity, discountfactor, day_count, calendar)
yield_curve.enableExtrapolation()
curve_handle = ql.YieldTermStructureHandle(yield_curve)


# BRL index
 BRL_index = ql.OvernightIndex('cdi', 0, ql.BRLCurrency(), ql.Brazil(), ql.Business252())
notional = 10000000
fixed_rate = 0.025
fixed_leg_daycount = ql.Business252()
float_spread = 0.0
float_leg_daycount = ql.Business252()
payment frequency = ql.Once

# creating schedule for zero coupon swap

fixed_schedule = ql.MakeSchedule(EffectiveDate, terminationDate, ql.Once)

 float_schedule = ql.MakeSchedule (EffectiveDate, terminationDate, ql.Once, calendar, ql.ModifiedFollowing, False)


 swap = ql.ZeroCouponSwap(ql.Receiver, 1000000, fixed_schedule, 
                     fixed_rate, fixed_leg_daycount, curve_handle)

 engine = ql.DiscountingSwapEngine(yield_curve)
 swap.setPricingEngine(engine)

Answer 1

I am running QuantLib version 1.30 and it works for me. Here is the code I compiled to investigate as unfortunately yours did not work for me

import QuantLib as ql

# Set the reference date
ql.Settings.instance().evaluationDate = ql.Date(1, 1, 2022)

dfs = [1, 0.965, 0.94]  # discount factors
dates = [
    ql.Date(1, 1, 2022),
    ql.Date(1, 1, 2023),
    ql.Date(1, 1, 2024),
]  # maturity dates of the discount factors

day_counter = ql.Actual360()

# Create the discount curve
curve = ql.DiscountCurve(dates, dfs, day_counter)

# The curve will note be linked in case we want to update the quotes later on
ts_handle = ql.YieldTermStructureHandle(curve)

custom_index= ql.IborIndex(
    "MyIndex",
    ql.Period("3m"),
    0,
    ql.SEKCurrency(),
    ql.Sweden(),
    ql.ModifiedFollowing,
    False,
    ql.Actual360(),
    ts_handle,
)

start_date= ql.Date(3,2,2022)
end_date = ql.Date(3,6,2022)

swap = ql.ZeroCouponSwap(
    ql.Swap.Receiver,
    1000000,
    start_date,
    end_date,
    0.02,
    day_counter,
    custom_index,
    ql.Sweden(),
)

engine = ql.DiscountingSwapEngine(ts_handle)
swap.setPricingEngine(engine)
print(swap.NPV())

Which gives me the NPV -5090. As I have not previously worked with ZeroCouponSwap I used the following sources to investigate your issue:

1. https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/swap.i
2. https://github.com/lballabio/QuantLib/blob/master/test-suite/zerocouponswap.cpp