Re: [Quantlib-users] Swap Dv01

[Luigi B. <lui...@gm...>]

Hi James, see the two answers to your question at <
https://quant.stackexchange.com/questions/68433/quantlib-usdlibor-method>.

Luigi


On Tue, Oct 19, 2021 at 11:11 PM James Donaldson via QuantLib-users <
qua...@li...> wrote:

> 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...
>
>
>
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>
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>
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