Re: [Quantlib-users] Bootstrap non fixed-reset-number floating leg interest rate swap

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

Hello,
    instead of using MultipleResetsLeg, you can instantiate the underlying
MultipleResetCoupon instances directly.  Each coupon can take its set of
reset dates explicitly.

Hope this helps,
    Luigi


On Sun, Sep 14, 2025 at 3:10 PM "范博伟" <hz...@si...> wrote:

> Hi there,
>
> I am trying to use python to calibrate interest rate swap in China, which
> is a bit non-standard as the floating leg is reset weekly and paid
> quarterly.
>
> I am tring to the use the MultipleResetsLeg for the floating leg to
> construct a swap  and do the calibartoin. However, the MultipleResetsLeg
> has a fixed number of resets per coupon while in real case, the number of
> resets is not fixed. It could be 12-14 resets per coupon due to the
> convention and calendar.
>
> In C++, we could build the swap from scratch but not sure if we can do
> that in python, since some api is not exposed.
>
> Could anyone help me with the issue. Thanks.
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