I am trying to bootstrap the 6m sterling swap curve using the depos and swap rates codes are below. I am a newbie and have been following (or at least trying to!) the python cookbook. I wanted to know how do I add FRA to the mix?i.e. how do I create helpers for FRAs assuming I have these FRAs FRAs = {(1, 7): 0.037125, (2, 8): 0.037125, (3, 9): 0.037125} (and also wanted to check if the below code makes sense) import QuantLib as ql import pandas as pd
today= ql.Date(1,4,2020) ql.Settings.instance().evaluationDate = today
quote = ql.QuoteHandle(ql.SimpleQuote(0.72863/100)) tenor = ql.Period('6M') fixingDays = 2 calendar = ql.TARGET() convention = ql.ModifiedFollowing endOfMonth = False dayCounter = ql.Actual365Fixed()
GBPLibor = ql.GBPLibor(ql.Period('6M')) depo_helper = [ql.DepositRateHelper(quote,tenor,fixingDays,calendar,convention,endOfMonth,dayCounter)]
swap_helpers = [ql.SwapRateHelper(ql.QuoteHandle(ql.SimpleQuote(rate/100.0)), ql.Period(*tenor), calendar,ql.Semiannual,ql.Following,ql.Actual365Fixed(),GBPLibor) for tenor, rate in [((1,ql.Years),.5635), ((2,ql.Years),0.4929), ((3,ql.Years),.4764), ((4,ql.Years), .4917), ((5,ql.Years), .5007), ((6,ql.Years), .5136), ((7,ql.Years), .5247), ((8,ql.Years), .5331), ((9,ql.Years), .5424), ((10,ql.Years),.5489), ((12,ql.Years),.5647), ((15,ql.Years),.5843), ((20,ql.Years),.5869), ((25,ql.Years),.5690), ((30,ql.Years),.5380), ((40,ql.Years),.4761), ((50,ql.Years),.4381)]]
rate_helpers = depo_helper + swap_helpers GBP6mLiborCurve = ql.PiecewiseCubicZero(today,rate_helpers,ql.Actual365Fixed()) spots = [] tenors = []
for d in GBP6mLiborCurve.dates(): yrs = ql.Actual365Fixed().yearFraction(today,d) compounding = ql.Simple freq = ql.Semiannual zero_rate=GBP6mLiborCurve.zeroRate(yrs,compounding,freq) tenors.append(yrs) eq_rate=zero_rate.equivalentRate(ql.Actual365Fixed(),compounding,freq,today,d).rate() spots.append(100*eq_rate)
datatable={'Dates':GBP6mLiborCurve.dates(),'Tenors':tenors,'spots':spots}
df=pd.DataFrame.from_dict((datatable))
print(df) Output Dates Tenors spots 0 April 1st, 2020 0.000000 0.000000 1 October 5th, 2020 0.512329 0.728645 2 April 1st, 2021 1.000000 0.564059 3 April 1st, 2022 2.000000 0.494446 4 April 3rd, 2023 3.005479 0.478995 5 April 2nd, 2024 4.005479 0.495879 6 April 1st, 2025 5.002740 0.506411 7 April 1st, 2026 6.002740 0.521119 8 April 1st, 2027 7.002740 0.534104 9 April 3rd, 2028 8.010959 0.544392 10 April 3rd, 2029 9.010959 0.555760 11 April 1st, 2030 10.005479 0.564234 12 April 1st, 2032 12.008219 0.584600 13 April 2nd, 2035 15.010959 0.611500 14 April 3rd, 2040 20.019178 0.623278 15 April 3rd, 2045 25.021918 0.610436 16 April 1st, 2050 30.019178 0.580321 17 April 1st, 2060 40.027397 0.516318 18 April 1st, 2070 50.032877 0.479267