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

[Luigi B. <lui...@gm...>]

Hi Norbert,
    the IborIborBasisSwapRateHelper is a relatively recent addition to the
library.  QuantLibXL hasn't been updated in a while, and I'm afraid I have
no idea if a release is on the horizon.  In any case, you can find
workarounds in Ametrano and Bianchetti (
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548) who also use
basis swaps in their calibration sets.

Hope this helps,
    Luigi


On Tue, Jul 18, 2023 at 11:11 AM Patzschke, Norbert <
nor...@fi...> wrote:

> 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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