quantlib 中的外匯遠期匯率協議估值

我正在嘗試使用以下程式碼在 quantlib Python 中評估 FRA：

import QuantLib as ql

calendar = ql.UnitedStates()

todaysDate = ql.Date(7, ql.May, 2017)
#
ql.Settings.instance().evaluationDate = todaysDate

spotDates = [ql.Date(7, 5, 2017)+ql.Period(i*6, ql.Months) for i in range(0, 10)]



spotRates = [4.3291/100]*len(spotDates)


interpolation = ql.Linear()

compounding = ql.Compounded

compoundingFrequency = ql.Annual

spotCurve = ql.ZeroCurve(spotDates, spotRates, ql.Actual360(), calendar,interpolation, compounding, compoundingFrequency)

spotCurveHandle = ql.YieldTermStructureHandle(spotCurve)

indexCurve1 = ql.Euribor6M(spotCurveHandle)

indexCurve1.addFixing(ql.Date(7, 5, 2017) -3,0.9,True)

forward_rates=[spotCurve.zeroRate(x,ql.Actual360(),compounding,compoundingFrequency).rate()for x in spotDates]

fra = ql.ForwardRateAgreement(ql.Date(7, 5, 2017),ql.Date(15,12,2020),ql.Position.Long,0.01,10e6,ql.Euribor6M(spotCurveHandle))

但是，如果我在函式中更改估​​值日期

fra = ql.ForwardRateAgreement(ql.Date(7, 5, 2018),ql.Date(15,12,2020),ql.Position.Long,0.01,10e6,ql.Euribor6M(spotCurveHandle))

它給了我一個錯誤：RuntimeError: empty Handle cannot be dereferenced

誰能幫我解決這個錯誤？我將由衷感謝。

提前致謝！

您沒有給建構子一個折扣曲線。建構子是：

ql.ForwardRateAgreement(valueDate, maturityDate, position, strikeForward, notional, iborIndex, discountCurve=ql.YieldTermStructureHandle())

所以你應該添加一個 spotCurveHandle 作為最後一個參數：

fra = ql.ForwardRateAgreement(ql.Date(7, 5, 2018), ql.Date(15,12,2020), ql.Position.Long, 0.01, 10e6,ql.Euribor6M(spotCurveHandle), spotCurveHandle)

引用自：https://quant.stackexchange.com/questions/55182