Finding the Next Swap Cash Flow in QuantLib
Summary
The document explains how to retrieve the next cash flow date and amount from a plain vanilla interest rate swap in QuantLib’s Python interface. One approach subclasses the swap class, converts the fixed leg entries to coupons, and selects the first cash flow whose payment date is after the valuation date. This allows the caller to inspect the date and amount for the fixed leg; the example demonstrates the approach on a swap with annual fixed payments and semiannual floating payments.
A second answer points to built-in next and previous cash-flow methods added to the Python bindings, making custom filtering unnecessary in newer QuantLib versions. The example code focuses on the next fixed payment, so the document does not fully show how to retrieve the previous payment or handle the floating leg. The method also depends on comparing cash-flow dates with the intended valuation date and on the availability of the relevant library version.
Key ideas
- A swap leg exposes cash flows that can be converted to coupon objects.
- The next payment can be found by selecting the first cash flow dated after valuation.
- A custom swap subclass can provide helpers for inspecting fixed-leg cash flows.
- Newer QuantLib bindings offer built-in methods for finding next and previous cash flows.
Tags
Full text
# Answer by David Duarte (score 1)
# QuantLib : How to get the 'last' and 'next' cash flow date and amount from the date of valuation in plain vanilla interest rate swap in Python?
Do we have any direct method to get the 'last' and 'next' cash flow date and amount from the date of valuation in Quantlib Python using fixed leg amt or floating leg amt, day counter,valuation date , notional,Index,payment frequency etc. Please suggest.
## Answer by David Duarte (score 1)
https://quant.stackexchange.com/a/51567
I don't think there is a direct method but you can easily implement that logic by extending the class you want.
Here is an example:
```
import QuantLib as ql
today = ql.Date().todaysDate()
calendar = ql.TARGET()
start = calendar.advance(today, 2, ql.Days)
maturity = calendar.advance(start, ql.Period('5y'))
fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('1Y'))
floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))
class MyVanillaSwap(ql.VanillaSwap):
def fixedLegCashFlows(self):
return list(map(ql.as_coupon, self.fixedLeg()))
def nextFixed(self):
nextCashFlow = list(filter(lambda x: x.date() > today, self.fixedLegCashFlows()))[0]
return (nextCashFlow.date(), nextCashFlow.amount())
swap = MyVanillaSwap(
ql.VanillaSwap.Payer, 250e6,
fixedSchedule, 0.0195, ql.Thirty360(),
floatSchedule, ql.Euribor6M(), 0, ql.Actual360()
)
swap.nextFixed()
```
Output would be:
(Date(12,3,2021), 4875000.000000019)
## Answer by Luigi Ballabio (score 1)
https://quant.stackexchange.com/a/52948
Methods `nextCashFlow` and `previousCashFlow` were added to the `CashFlows` class in Python in a recent pull request (see https://github.com/lballabio/QuantLib-SWIG/pull/255) and will be available in release 1.19. Once it's published (or earlier if you can compile the current master from GitHub), you'll be able to write
```
CashFlows.nextCashFlow(swap.fixedLeg())
```Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.