Re: [Quantlib-users] QuantLib query

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

Hello,
    SwapRateHelper creates the swap schedule (and the swap itself)
internally, and during the bootstrap it calculates the fair swap rate
according to the curve being bootstrapped and reports the difference to the
bootstrapping algorithm so that it can adjust the curve accordingly.  If
you want more details on the implementation of the bootstrapping process,
you can have a look at <
https://www.implementingquantlib.com/2013/10/chapter-3-part-3-of-n-bootstrapping.html>.
An example of usage is in the Examples/MulticurveBootstrapping folder in
the QuantLib C++ sources.

The swap helper, of course, needs to be given conventions to build the
swap.  Some of its constructors take those conventions explicitly (e.g.,
the one at <
https://github.com/lballabio/QuantLib/blob/QuantLib-v1.28/ql/termstructures/yield/ratehelpers.hpp#L272>.
Some others take a SwapIndex object that provides a predetermined set of
conventions; for instance, UsdLiborSwapIsdaFixAm defines the conventions
for what used to be called the ISDAFIX swap rates.  Given that ISDAFIX has
been discontinued and transitioned to ICE swap rates, though, I'm no longer
sure that the conventions are up to date, so you might be better off using
the other SwapRateHelper constructor and passing the correct conventions
yourself.

Hope this helps,
    Luigi



On Fri, Nov 4, 2022 at 1:13 AM Lydia Anderson <and...@gm...>
wrote:

> Dear Dr. Luigi Ballabio,
>
> I am a new user to QuantLib and I have some basic questions that I'd like
> to ask. I am looking to build a zero-rate curve from observed swap rates --
> could you please explain what does SwapRateHelper do? Is it something
> that handles the date scheduling internally? Also, what is UsdLiborSwapIsdaFixAm
> -- is it an object that specifies the date convention of the USD swap? I
> tried to find resource online that explains this but no success.
>
> Thanks for your time in this 🙂.
>
> Best,
> Lydia
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