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

[Patzschke, N. <nor...@fi...>]

Thanks for your quick answer. qlSwapHelper2 builts a vanilla swap with a fixed leg paying Rate and a floating leg paying IborIndex. It is not possible to use an Euribor object as Rate.

PS
There was a typo in my question. It should of course be Euribor-1m and Euribor-6m.

Von: Ben Watson <ben...@ma...>
Gesendet: Dienstag, 18. Juli 2023 11:55
An: Patzschke, Norbert <nor...@fi...>; qua...@li...
Betreff: RE: [Quantlib-users] QuantlibXL: Bootstrapping multiple curves

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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...<mailto:nor...@fi...>>
Sent: Tuesday, July 18, 2023 6:35 PM
To: qua...@li...<mailto: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