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

[范博伟 <hz...@si...>]

Hi Luigi,
Thanks for the reply! 
I check the MultipleResetCoupon and I think I can use that and put a swap together by passing fixedLeg and floatingLeg to ql.Swap, or ql.NonstandardSwap. 
However, how can I bootstrap from those swaps for discounting curve? I think SwapRateHelper won't take swap as input. 
Is there any available helper class would help in this case?
Thanks.

----- 原始邮件 -----
发件人：Luigi Ballabio <lui...@gm...>
收件人：hz...@si...
抄送人：quantlib-users <qua...@li...>
主题：Re: [Quantlib-users] Bootstrap non fixed-reset-number floating leg interest rate swap
日期：2025年09月22日 14点24分

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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