[Quantlib-users] Pricing swaps with short first accrual periods

[Tom A. <tw...@ur...>]

Hello,

Certain difficult people might like to trade swaps whose tenors are not 
integer multiples of their index tenors. For example, a 26.5 month swap 
against 3-month LIBOR, which, assuming backward date generation, has a 
2.5-month first accrual period. My understanding is that in this case, the 
cashflow for the first period is determined not by a fixing of 3-month 
LIBOR, but by linear interpolation between fixings of the closest tenors 
of LIBOR (2 and 3 month in this example).

Can i model swaps like this with QuantLib?

I'm assuming i'll have to build separate curves for the tenors i want to 
interpolate between, but how do i connect them to a swap?

Thanks,
tom

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