Re: [Quantlib-users] Missing USDLibor6M Actual/360 fixing

[MonkeyMan <fee...@ya...>]

Mike DelMedico <mike.delmedico <at> gmail.com> writes:

> 
> I'm almost 100% sure QL is doing #1 (May 18 2009 - Aug 17 2009), since
> that would be the rate that matches the true accrual period. 

I agree.

> Remember that you need to pass old libor fixings (3M) to the curve in
> order to generate swaps that have already become effective (i.e. their
> cashflows have started to transfer between parties).  Use the function
> =qlIndexAddFixings.
> 

Thanks. I didn't know about this function. 

In my example I take the deposit, futures, and spot swap rates observed at time
0 and simply want to calculate a forward rate as of time 0. I don't have any
swaps that started in the past. I really don't know why Quantlib is backup up
past my eval date to start the swap.