在 Quantlib 中计算现金流 Fixed Leg Plain Vanilla IRS

Question

我正在尝试计算普通 IRS 的固定部分的现金流量。不知何故，我收到了以下错误消息，但不知道问题出在哪里：

TypeError: in method 'FixedRateLeg', argument 3 of type 'std::vector< Real,std::allocator< Real > > const &'

代码如下所示：

import QuantLib as ql

today = ql.Date(15, ql.December, 2015)
ql.Settings.instance().evaluationDate = today

#Input parameters
effective_date = ql.Date(1, ql.January, 2016)
termination_date = ql.Date(10, ql.January, 2018)
tenor_fixed = ql.Period(6, ql.Months)
calendar = ql.TARGET()
business_convention = ql.Following
termination_business_convention = ql.Following
date_generation = ql.DateGeneration.Forward
end_of_month = False
Notional = 10000.0
day_count_conv_fixed = ql.Thirty360()
Fixed_Rate = 0.02
Spread_On_Interest_Rate = 0.0

#Fixed Rate
fixed_schedule = ql.Schedule(effective_date, termination_date,
                          tenor_fixed, calendar, business_convention, termination_business_convention,
                          date_generation, end_of_month)

cfs= ql.FixedRateLeg(fixed_schedule,ql.Thirty360(),Notional,Fixed_Rate)
for c in cfs:
    print(c.date(), c.amount())

Answer 1

FixedRateLeg 允许为不同的优惠券传递不同的面值，因此它采用面值向量（Python 中的列表）而不是单个面值。通过 [Notional] 而不是 Notional 将起作用；如果列表少于优惠券的数量，则列表中的最后一个名义将用于所有剩余的。费率也是如此；你必须通过 [Fixed_Rate].

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