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From: Luigi B. <lui...@gm...> - 2021-10-20 11:15:05
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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... > > > > GMO LLC > > 40 Rowes Wharf > > Boston, MA 02110 > > > > *GMO.com <http://www.gmo.com/>* > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > |