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From: Ben W. <ben...@ma...> - 2023-07-18 11:03:25
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Easy..
qlSwapRateHelper2(
string ObjectId
string Rate This is
EURIBOR 6m as a Quoteobject
long SettlDays
string Tenor
string Calendar
string FixedLegFrequency
string FixedLegConvention
string FixedLegDayCounter
string IborIndex
string Spread This is 6s/1s
basis as a Quoteobject
string ForwardStart
string DiscountingCurve
string PillarDate
long CustomPillarDate
bool Permanent
any Trigger
bool Overwrite)
Ben
From: Patzschke, Norbert <nor...@fi...>
Sent: Tuesday, July 18, 2023 6:35 PM
To: qua...@li...
Subject: [Quantlib-users] QuantlibXL: Bootstrapping multiple curves
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
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