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Passing a Relinkable Yield Curve to QuantLib’s Bond Z-Spread Calculation

Article Quant Q&A · Author: TourEiffel
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Summary

This note addresses a Python type error when calculating a bond’s z-spread with QuantLib. The example passes a RelinkableYieldTermStructureHandle into BondFunctions.zSpread, but the available overloads expect a yield-curve object, producing an argument-type error.

The suggested fix is to obtain the curve currently linked to the handle and pass that curve to the function. The explanation is narrowly about QuantLib’s Python interface and handle conversion; it does not discuss z-spread theory, curve construction, or broader bond valuation methods. It offers a direct workaround but no further example or comparison of library versions.

Key ideas

  • The reported overload error arises when a relinkable term-structure handle is passed directly to the z-spread function.
  • Call the handle’s current-link accessor to retrieve the linked yield curve for the calculation.
  • The advice concerns a Python binding compatibility detail rather than the financial interpretation of z-spread.

Tags

Fixed incomeDerivatives pricing
Full text
# Issue with QuantLib's BondFunctions.zSpread using RelinkableYieldTermStructureHandle in Python


# Issue with QuantLib's BondFunctions.zSpread using RelinkableYieldTermStructureHandle in Python












I'm using QuantLib in Python to calculate the z-spread of a bond. I have a `RelinkableYieldTermStructureHandle` for the yield curve, but I'm getting a TypeError when I try to pass this handle to the `ql.BondFunctions.zSpread()` function.

```
Wrong number or type of arguments for overloaded function 'BondFunctions_zSpread'.
  Possible C/C++ prototypes are:
    BondFunctions::zSpread(Bond const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,Date,Real,Size,Rate)
    BondFunctions::zSpread(Bond const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,Date,Real,Size)
    BondFunctions::zSpread(Bond const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,Date,Real)
    BondFunctions::zSpread(Bond const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency,Date)
    BondFunctions::zSpread(Bond const &,Real,ext::shared_ptr< YieldTermStructure > const &,DayCounter const &,Compounding,Frequency)
```

Here's the relevant part of my code:

```
z_spread = ql.BondFunctions.zSpread(self.bond,bond_dirty_price, self.yield_curve , ql.SimpleDayCounter(), ql.SimpleThenCompounded, ql.Annual)
```

Where :

```
self.bond  ->  <class 'QuantLib.QuantLib.FixedRateBond'>
bond_dirty_price -> 98.943322
self.yield_curve -> <class 'QuantLib.QuantLib.RelinkableYieldTermStructureHandle'>
```

This gives me the above TypeError with the message "Wrong number or type of arguments for overloaded function `BondFunctions_zSpread`."

I expected that the `RelinkableYieldTermStructureHandle` could be used in place of a `YieldTermStructureHandle` or `ext::shared_ptr< YieldTermStructure >`, but it seems that this isn't the case. Can anyone explain what I'm doing wrong and how to correct this?

## Answer by Luigi Ballabio (score 2, accepted)

https://quant.stackexchange.com/a/75805

Use `self.yield_curve.currentLink()` to retrieve the curve from the handle and pass it to `zSpread`.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.