I want to price a floating rate bond in Quantlib in Python. I have a zero curve with dates and OIS zero-rates and I have a curve with euribor 3M zero-rates that are fixed every month. I need both those curves for the floater. My reference date is for example 2020-05-01 and I would like to evaluate the bond on that day. Let's say my euribor 3M curve starts with 2020-05-30, then I'll get an error, that an additional fixing is needed for 2020-02-28 (or something like that) which makes sense. However, when I do add that fixing, I'll get the error "negative time given". So does anyone have an example for pricing a floating rate bond, using a fixing curve (any IBOR kind of curve) and a discounting/zeroCurve where the evaluation date is between two fixing dates?? Continue reading...
