I am trying to analyze a TIP security using Quantlib. I have not been able to find much documentation but I managed to find an example from 2015 that supposed worked because it was posted as a solution. The example no longer works and the problem lies with the construction of zeroSwapHelpers.
Here my modified code:
import QuantLib as ql
import datetime as dt
calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
observationInterpolation = ql.CPI.Flat
calendar = ql.UnitedKingdom()
dayCounter = ql.ActualActual(ql.ActualActual.Bond)
convention = ql.ModifiedFollowing
lag = 3
today = ql.Date(5,3,2008)
evaluationDate = calendar.adjust(today)
issue_date = calendar.advance(evaluationDate,-1, ql.Years)
maturity_date = ql.Date(2,9,2052)
fixing_date = calendar.advance(evaluationDate,-lag, ql.Months)
ql.Settings.instance().setEvaluationDate(evaluationDate)
observationInterpolation = ql.CPI.Flat
yTS = ql.YieldTermStructureHandle(ql.FlatForward(evaluationDate, 0.05, dayCounter))
tenor = ql.Period(1, ql.Months)
from_date = ql.Date(20, ql.July, 2007);
to_date = ql.Date(20, ql.November, 2009);
rpiSchedule = ql.Schedule(from_date, to_date, tenor, calendar,
convention, convention,
ql.DateGeneration.Backward, False)
# this is the going to be holder the inflation curve.
cpiTS = ql.RelinkableZeroInflationTermStructureHandle()
inflationIndex = ql.UKRPI(False, cpiTS)
fixData = [206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
209.8, 211.4, 212.1, 214.0, 215.1, 216.8,
216.5, 217.2, 218.4, 217.7, 216,
212.9, 210.1, 211.4, 211.3, 211.5,
212.8, 213.4, 213.4, 213.4, 214.4]
dte_fixings=[dtes for dtes in rpiSchedule]
print(len(fixData))
print(len(dte_fixings[:len(fixData)]))
#must be the same length
#inflationIndex.addFixings(dte_fixings[:len(fixData)], fixData)
#Current CPI level
#last observed rate
fixing_rate = 214.4
inflationIndex.addFixing(fixing_date, fixing_rate)
observationLag = ql.Period(lag, ql.Months)
zciisData =[( ql.Date(25, ql.November, 2010), 3.0495 ),
( ql.Date(25, ql.November, 2011), 2.93 ),
( ql.Date(26, ql.November, 2012), 2.9795 ),
( ql.Date(25, ql.November, 2013), 3.029 ),
( ql.Date(25, ql.November, 2014), 3.1425 ),
( ql.Date(25, ql.November, 2015), 3.211 ),
( ql.Date(25, ql.November, 2016), 3.2675 ),
( ql.Date(25, ql.November, 2017), 3.3625 ),
( ql.Date(25, ql.November, 2018), 3.405 ),
( ql.Date(25, ql.November, 2019), 3.48 ),
( ql.Date(25, ql.November, 2021), 3.576 ),
( ql.Date(25, ql.November, 2024), 3.649 ),
( ql.Date(26, ql.November, 2029), 3.751 ),
( ql.Date(27, ql.November, 2034), 3.77225),
( ql.Date(25, ql.November, 2039), 3.77 ),
( ql.Date(25, ql.November, 2049), 3.734 ),
( ql.Date(25, ql.November, 2059), 3.714 )]
#lRates=[rtes/100.0 for rtes in zip(*zciisData)[1]]
#baseZeroRate = lRates[0]
zeroSwapHelpers = [ql.ZeroCouponInflationSwapHelper(rate/100,observationLag,
date, calendar, convention, dayCounter, inflationIndex,observationInterpolation,yTS) for date,rate in zciisData]
# the derived inflation curve
jj=ql.PiecewiseZeroInflation(
evaluationDate, calendar, dayCounter, observationLag,
inflationIndex.frequency(), inflationIndex.interpolated(),
zciisData[0][1],#baseZeroRate,
yTS, zeroSwapHelpers, 1.0e-12, ql.Linear())
cpiTS.linkTo(jj)
notional = 1000000
fixedRates = [0.1]
fixedDayCounter = ql.Actual365Fixed()
fixedPaymentConvention = ql.ModifiedFollowing
fixedPaymentCalendar = ql.UnitedKingdom()
contractObservationLag = ql.Period(3, ql.Months)
observationInterpolation = ql.CPI.Flat
settlementDays = 3
growthOnly = False
baseCPI = 206.1
fixedSchedule = ql.Schedule(issue_date,
maturity_date,
ql.Period(ql.Semiannual),
fixedPaymentCalendar,
ql.Unadjusted,
ql.Unadjusted,
ql.DateGeneration.Backward,
False)
bond = ql.CPIBond(settlementDays,
notional,
growthOnly,
baseCPI,
contractObservationLag,
inflationIndex,
observationInterpolation,
fixedSchedule,
fixedRates,
fixedDayCounter,
fixedPaymentConvention)
#bond2= ql.QuantLib.C
bondEngine=ql.DiscountingBondEngine(yTS)
bond.setPricingEngine(bondEngine)
print(bond.NPV() )
print(bond.cleanPrice())
compounding = ql.Compounded
yield_rate = bond.bondYield(fixedDayCounter,compounding,ql.Semiannual)
y_curve = ql.InterestRate(yield_rate,fixedDayCounter,compounding,ql.Semiannual)
##Collate results
print( "Clean Price:", bond.cleanPrice())
print( "Dirty Price:", bond.dirtyPrice())
print( "Notional:", bond.notional())
print( "Yield:", yield_rate)
print( "Accrued Amount:", bond.accruedAmount())
print( "Settlement Value:", bond.settlementValue())
#suspect there's more to this for TIPS
print( "Duration:", ql.BondFunctions.duration(bond,y_curve))
print( "Convexity:", ql.BondFunctions.convexity(bond,y_curve))
print( "Bps:", ql.BondFunctions.bps(bond,y_curve))
print( "Basis Point Value:", ql.BondFunctions.basisPointValue(bond,y_curve))
print( "Yield Value Basis Point:", ql.BondFunctions.yieldValueBasisPoint(bond,y_curve))
print( "NPV:", bond.NPV())
# get the cash flows:
#cf_list=[(cf.amount(),cf.date()) for cf in bond.cashflows()]
def to_datetime(d):
return dt.datetime(d.year(),d.month(), d.dayOfMonth())
for cf in bond.cashflows():
try:
amt=cf.amount()
rte=jj.zeroRate(cf.date())
zc=yTS.zeroRate(cf.date(),fixedDayCounter,compounding,ql.Semiannual).rate()
except:
amt=0
rte=0
zc=0
print( to_datetime(cf.date()),amt,rte,zc)
#################################################
Error:
27
27
---------------------------------------------------------------------------
TypeError Traceback (most recent call last)
<ipython-input-52-c046731c2284> in <module>
72
73 zeroSwapHelpers = [ql.ZeroCouponInflationSwapHelper(rate/100,observationLag,
---> 74 date, calendar, convention, dayCounter, inflationIndex,observationInterpolation,yTS) for date,rate in zciisData]
75
76
1 frames
/usr/local/lib/python3.7/dist-packages/QuantLib/QuantLib.py in __init__(self, quote, lag, maturity, calendar, bcd, dayCounter, index, observationInterpolation, nominalTS)
17159
17160 def __init__(self, quote, lag, maturity, calendar, bcd, dayCounter, index, observationInterpolation, nominalTS):
> 17161 _QuantLib.ZeroCouponInflationSwapHelper_swiginit(self, _QuantLib.new_ZeroCouponInflationSwapHelper(quote, lag, maturity, calendar, bcd, dayCounter, index, observationInterpolation, nominalTS))
17162 __swig_destroy__ = _QuantLib.delete_ZeroCouponInflationSwapHelper
17163
TypeError: in method 'new_ZeroCouponInflationSwapHelper', argument 1 of type 'Handle< Quote > const &'
