make_zero_coupon.py not working out of the box!

[hmarrao]

to make it work had to perform the following changes which I don't know if they are fully valid:

diff --git a/examples/make_zero_coupon.py b/examples/make_zero_coupon.py
index 6004ffb..2d72510 100644
--- a/examples/make_zero_coupon.py
+++ b/examples/make_zero_coupon.py
@@ -15,14 +15,13 @@ from __future__ import print_function

 from quantlib.settings import Settings
 from quantlib.termstructures.yields.rate_helpers import DepositRateHelper, SwapRateHelper
-from quantlib.termstructures.yields.piecewise_yield_curve import \
-    term_structure_factory
+from quantlib.termstructures.yields.piecewise_yield_curve import PiecewiseYieldCurve
 from quantlib.time.api import Date, TARGET, Period, Months, Years, Days
 from quantlib.time.api import (ModifiedFollowing, Unadjusted, Actual360,
                                Thirty360, ActualActual)

 from quantlib.time.api import September, ISDA, today
-from quantlib.currency import USDCurrency
+from quantlib.currency.api import USDCurrency
 from quantlib.quotes import SimpleQuote

 from quantlib.indexes.libor import Libor
@@ -80,7 +79,7 @@ def get_term_structure(df_libor, dtObs):
     for m, period, label in depositData:
         tenor = Period(m, Months)
         rate = df_libor.get_value(dtObs, label)
-        helper = DepositRateHelper(float(rate/100.0), tenor,
+        helper = DepositRateHelper(SimpleQuote(rate/100.0), tenor,
                  settlement_days,
                  calendar, ModifiedFollowing,
                  end_of_month,
@@ -92,27 +91,31 @@ def get_term_structure(df_libor, dtObs):

     liborIndex = Libor('USD Libor', Period(6, Months),
                        settlement_days,
-                       USDCurrency(), calendar,
-                       ModifiedFollowing,
-                       endOfMonth, Actual360())
+                       USDCurrency(),
+                       calendar,
+                       Actual360(),
+                       #ModifiedFollowing,
+                       #endOfMonth, 
+                       )

     spread = SimpleQuote(0)
     fwdStart = Period(0, Days)

     for m, period, label in swapData:
         rate = df_libor.get_value(dtObs, label)
-        helper = SwapRateHelper(SimpleQuote(rate/100.0),
+        helper = SwapRateHelper.from_tenor(SimpleQuote(rate/100.0),
                  Period(m, Years), 
-            calendar, Annual,
-            Unadjusted, Thirty360(),
-            liborIndex, spread, fwdStart)
+                 calendar, Annual,
+                 Unadjusted, Thirty360(),
+                 liborIndex, spread, fwdStart)
+        #helper = SwapRateHelper.from_index(SimpleQuote(rate/100.0),liborIndex)

         rate_helpers.append(helper)

     ts_day_counter = ActualActual(ISDA)
     tolerance = 1.0e-15

-    ts = term_structure_factory('discount', 'loglinear',
+    ts = PiecewiseYieldCurve('discount', 'loglinear',
          settlement_date, rate_helpers,
          ts_day_counter, tolerance)

@@ -120,7 +123,7 @@ def get_term_structure(df_libor, dtObs):

 def zero_curve(ts, dtObs):
     calendar = TARGET()
-    days = range(10, 365*20, 30)
+    days = range(10, 365*17, 30)
     dtMat = [calendar.advance(dateToDate(dtObs), d, Days) for d in days]
     df = np.array([ts.discount(dt) for dt in dtMat])
     dtMat = [QLDateTodate(dt) for dt in dtMat]
@@ -131,7 +134,7 @@ def zero_curve(ts, dtObs):

 if __name__ == '__main__':

-    df_libor = pandas.load('data/df_libor.pkl')
+    df_libor = pandas.read_pickle('data/df_libor.pkl')
     dtObs = df_libor.index

     fig = plt.figure()
@@ -150,7 +153,8 @@ if __name__ == '__main__':
     ax.set_xlim(dtMin, dtMax)
     ax.set_ylim(0.0, 0.1)

-    dtI = dtObs[range(0, len(dtObs)-1, 100)]
+    #dtI = dtObs[range(0, len(dtObs)-1, 100)]
+    dtI = dtObs[range(0, len(dtObs)-1, 99)]
     for dt in dtI:
         ts = get_term_structure(df_libor, dt)
         (dtMat, zc) = zero_curve(ts, dt)

[dpinte]

@hmarrao thanks! If you could submit the patch in a pull request, I'll be happy to merge it! The examples are not always kept in sync with the code. Thanks for the cleanup.

[hmarrao]

I'm testing all available examples and notebooks.
I will "pull request" all fixes that I can manage to perform!

[phenaff]

It now works in the pull request "stovol", but ....

$ ipython examples/scripts/make_zero_coupon.py
works fine, but

$ python examples/scripts/make_zero_coupon.py
raises an error about quantlib.currency.api module not found! Not sure why, this api is used all over the place.