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From: Patzschke, N. <nor...@fi...> - 2023-07-18 09:07:41
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I have the following situation: Discounting curve = ESTR Basis curve = Eonia-6m Forward curve = Eonia-1m, given by basis swaps (Eonia-6m vs Eonia-1m) with spreads The curves ESTR and Eonia-6m can be generated in QuantlibXL. But how can I create the curve Eonia-1m in QuantlibXL? In the Quantlib there is IborIborBasisSwapRateHelper for this purpose. Is there a corresponding function in QuantlibXL? Regards, Norbert |