Re: [Quantlib-users] QuantlibXL: Bootstrapping multiple curves

[Ben W. <ben...@ma...>]

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