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

[Arkadiy N. <ark...@gm...>]

Hi Tom,

As far as I understand, this is all transparent in QL, in a sense that all you have to is to build a swap with appropriate payments schedule. Nothing special is required for the curve (unless you are really keen on very particular interpolation between very particular points) - a curve is  able to generate fixing values for any arbitrary tenor on its own. 

Sent from my iPhone

> On Dec 11, 2020, at 3:32 PM, Tom Anderson <tw...@ur...> wrote:
> 
> 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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