Re: [Quantlib-users] How to handle stubs

[Trent M. <tr...@ma...>]

Seems I need a way to pass the fixing for the stub. I’m not seeing a way to do that directly. I’m using MakeVanillaSwap if it matters. Any help would be appreciated.

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On Tue, Oct 24, 2023 at 10:04, Trent Maetzold <[tr...@ma...](mailto:On Tue, Oct 24, 2023 at 10:04, Trent Maetzold <<a href=)> wrote:

> Hi all,
>
> I've been looking at CZK and market practice for the Ibors there seems to be to switch to one of the shorter dated Ibor Indexes when there is a stub (believe they are actually just interpolated and put into a quote in Bloomberg). The QuantLib model is spot on at pricing swaps except when there is a stub, since QuantLib is using my 3m or 6m index interpolation for the stub. What is the recommended way of handling this? It seems that a brute force way would be to build all the various indexes and then write a index chooser function to pick which one to use to forecast the fixings, but I'm wondering if there's a more straightforward way.
>
> Thanks in advance,
> Trent Maetzold