[Quantlib-users] ForwardSpreadedTermStructure

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

HiHi,

I think the answer to this already, but just want to check if there is an alternative


In the code below we are adding a constant spread to the forward curve. However we have a term structure of spreads - is there a native Quantlib way of adding the term structure of spreads?

ql.ForwardSpreadedTermStructure(YieldTermStructure, spread)
crv = ql.FlatForward(ql.Date(10,1,2020),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
spread = ql.QuoteHandle(ql.SimpleQuote(0.005))
ql.ForwardSpreadedTermStructure(yts, spread)

No big deal to write our own, but just wanted to check if there is something in the box to do this?

Ben