Re: [Quantlib-users] ql.SwapRateHelper arguments

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

Hi Victoria,

The default for this parameter is the very curve you are building. You’d set the parameter’s value explicitly in order to replicate a methodology used (the example may not too relevant for too long) to build USD LIBOR curve, where the discounting is done at SOFR (and, before that, at EFF OIS). Please check out section 2.2. of this paper for some background: Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping But Were Afraid To Ask (free download from ssrn)

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> On Jun 2, 2022, at 6:02 AM, Victoria Titon <vic...@we...> wrote:
> 
> 
> Hello,
> 
> I saw we can precise a DiscountingCurve (YieldTermStructureHandle format) argument in the ql.SwapRateHelper function. 
> As it is not mandatory (the default value is an empty value), I don't understand which information does the function take from this argument?
> Actually, if I put a yieldTermstructureHandle discounting curve, in what way the SwapHelper will change? 
> 
> Thanks in advance for your answer.
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