BUG: Error running cashflows on IRS with a NPV

[dwbhappy]

from rateslib import * 

par_curve = Curve( 
    nodes={
        dt (2022, 1, 1): 1.0, 
        dt (2023, 1, 1): 1.0, 
        dt (2024, 1, 1): 1.0,
        dt (2025, 1, 1): 1.0,
    },
    id="curve",
)
par_instruments = [
    IRS(dt(2022, 1, 1), "1Y", "A", curves="curve"),
    IRS(dt(2022, 1, 1), "2Y", "A", curves="curve"),
    IRS(dt(2022, 1, 1), "3Y", "A", curves="curve")
]

par_solver = Solver (
    curves=[par_curve],
    instruments=par_instruments,
    s=[1.21, 1.635, 1.99],
    id="par_solver",
    instrument_labels=["1Y", "2Y", "3Y"]
)

T_irs = IRS(
    effective=dt (2020, 12, 15),
    termination=dt (2037, 12, 15),
    notional=-600e6,
    frequency="A",
    leg2_frequency="A",
    fixed_rate=4.5,
    curves="curve"
)
    
print(T_irs.npv (solver=par_solver))
T_irs.cashflows (solver=par_solver)

File ~\anaconda3\Lib\site-packages\rateslib\periods.py:1090, in FloatPeriod._rfr_rate_from_df_curve(self, curve)
1088 def _rfr_rate_from_df_curve(self, curve: Curve):
1089 if self.fixing_method == "rfr_payment_delay" and not self._is_inefficient:
-> 1090 return curve.rate(self.start, self.end) + self.float_spread / 100
1092 elif self.fixing_method == "rfr_observation_shift" and not self._is_inefficient:
1093 start = add_tenor(self.start, f"-{self.method_param}b", "P", curve.calendar)

TypeError: unsupported operand type(s) for +: 'NoneType' and 'float'

[Xiar-fatah]

To me it looks like the error is due to the fact that your IRS has an effective date where there is no corresponding node on your curve as your curve starts at the date 2022-01-01 and the IRS at 2020-12-15. For example, the following code executes with no issues

from rateslib import *

par_curve = Curve(
    nodes={
        dt(2022, 1, 1): 1.0,
        dt(2023, 1, 1): 1.0,
        dt(2024, 1, 1): 1.0,
        dt(2025, 1, 1): 1.0,
    },
    id="par_curve",
)
par_instruments = [
    IRS(dt(2022, 1, 1), "1Y", "A", curves="par_curve"),
    IRS(dt(2022, 1, 1), "2Y", "A", curves="par_curve"),
    IRS(dt(2022, 1, 1), "3Y", "A", curves="par_curve"),
]

par_solver = Solver(
    curves=[par_curve],
    instruments=par_instruments,
    s=[1.21, 1.635, 1.99],
    instrument_labels=["1Y", "2Y", "3Y"],
)


T_irs = IRS(
    effective=dt(2022, 12, 15),
    termination=dt(2023, 12, 15),
    notional=-600e6,
    frequency="A",
    leg2_frequency="A",
    fixed_rate=4.5,
    curves=par_curve
)

print(T_irs.npv(curves=par_curve))

T_irs.cashflows(curves=par_curve)

[dwbhappy]

Hi,I think that is the point of this example. I can value an old swap with a more recent curve.This should work with getting either fixings or an error to say one needs to provide fixings?ThanksAdeSent from my Verizon, Samsung Galaxy smartphone -------- Original message --------From: Xiar ***@***.***> Date: 5/20/24 12:37 PM (GMT-06:00) To: attack68/rateslib ***@***.***> Cc: dwbhappy ***@***.***>, Author ***@***.***> Subject: Re: [attack68/rateslib] BUG: Error running cashflows on IRS with a NPV (Issue #170) To me it looks like the error is due to the fact that your IRS has an effective date where there is no corresponding node on your curve as your curve starts at the date 2022-1-1. For example, the following code executes with no issues from rateslib import * par_curve = Curve( nodes={ dt(2022, 1, 1): 1.0, dt(2023, 1, 1): 1.0, dt(2024, 1, 1): 1.0, dt(2025, 1, 1): 1.0, }, id="par_curve", ) par_instruments = [ IRS(dt(2022, 1, 1), "1Y", "A", curves="par_curve"), IRS(dt(2022, 1, 1), "2Y", "A", curves="par_curve"), IRS(dt(2022, 1, 1), "3Y", "A", curves="par_curve"), ] par_solver = Solver( curves=[par_curve], instruments=par_instruments, s=[1.21, 1.635, 1.99], instrument_labels=["1Y", "2Y", "3Y"], ) T_irs = IRS( effective=dt(2022, 12, 15), termination=dt(2023, 12, 15), notional=-600e6, frequency="A", leg2_frequency="A", fixed_rate=4.5, curves=par_curve ) print(T_irs.npv(curves=par_curve)) T_irs.cashflows(curves=par_curve) —Reply to this email directly, view it on GitHub, or unsubscribe.You are receiving this because you authored the thread.Message ID: ***@***.***>

[attack68]

After PR #172 this will report the following error either when npv or cashflows is called:

ValueError: RFRs could not be calculated, have you missed providing `fixings` or does the `Curve` begin after the start of a `FloatPeriod` including the `method_param` adjustment?

which is already an existing error message but it just didn't get called in this case for various branching reasons.

The fastest solution to your issue (although I dont advise using made up fixings is):

from pandas import Series, date_range
fixings = Series(
    data=0.0,
    index=date_range(start=dt(2020, 12, 15), end=dt(2021, 12, 31))
)
T_irs = IRS(
effective=dt(2020, 12, 15),
termination=dt(2037, 12, 15),
notional=-600e6,
frequency="A",
leg2_frequency="A",
leg2_fixings=fixings,
fixed_rate=4.5,
curves="curve"
)

[dwbhappy]

yes indeed. that solves the issue. Thank you!

…

On Mon, May 20, 2024 at 4:30 PM JHM Darbyshire ***@***.***> wrote: After PR #172 <#172> this will report the following error either when npv or cashflows is called: ValueError: RFRs could not be calculated, have you missed providing `fixings` or does the `Curve` begin after the start of a `FloatPeriod` including the `method_param` adjustment? which is already an existing error message but it just didn't get called in this case for various branching reasons. The fastest solution to your issue (although I dont advise using made up fixings is): from pandas import Series, date_rangefixings = Series( data=0.0, index=date_range(start=dt(2020, 12, 15), end=dt(2021, 12, 31)) )T_irs = IRS(effective=dt(2020, 12, 15),termination=dt(2037, 12, 15),notional=-600e6,frequency="A",leg2_frequency="A",leg2_fixings=fixings,fixed_rate=4.5,curves="curve" ) — Reply to this email directly, view it on GitHub <#170 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AGZYCPNESNNY5IO2D5TRSYTZDJTNVAVCNFSM6AAAAABIAAVR4KVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDCMRRGI2DENZXGI> . You are receiving this because you authored the thread.Message ID: ***@***.***>