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

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

You can always make the rate zero you will have a pure basis curve.

Quantlib does not connect curves directly. You can simulate connected
curves by sharing quote objects between curves.


On Wed, 19 July 2023, 9:37 pm Patzschke, Norbert, <
nor...@fi...> wrote:

> 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
>
>
>
> WARNUNG: Diese Email stammt von einem externen Absender! Bitte gehen Sie
> mit den in dieser Nachricht enthaltenen Dateien und Links vorsichtig um!
>
>
>
> 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
>