[Quantlib-users] Swap Dv01

[James D. <Jam...@gm...>]

Hello,

It seems ql.VanillaSwap() only calculates the Pv01 values (fixed leg BPS is valuation difference for shifting my fixed coupon 1bp). What is the recommended approach for calculating Dv01 using Quantlib?

I am currently using ql.ZeroSpreadedTermStructure() to shift my base curves (projection = US3mL, discount = SOFR), however when attempting to assign the shifted projection curve within ql.USDLibor(), which is required as part of ql.VanillaSwap(), I'm receiving an error that I have passed to many arguments.

Thanks,

James

James Donaldson, CFA

Fixed Income
T 617.790.5019
E jam...@gm...<mailto:jam...@gm...>

GMO LLC
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Boston, MA 02110

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