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

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

Hi, see <https://github.com/lballabio/QuantLib/pull/2474> recently opened.

Luigi

On Tue, Sep 23, 2025 at 2:51 PM "范博伟" <hz...@si...> wrote:

> Hi Luigi,
>
> We did namage to modify the OvernightIndexedSwap and related methods in
> C++ and build the FR007 swap class, mainly using xuruilong's example as
> reference.
>
> And yes, FR007 is a main bench market interest rate in China Inter Bank
> market. It's the real funding rate for most institution in the market.
> FR007 IRS is the most traded IRS in China IB. It's reset every 1 week as
> the tenor of FR007.
>
> We have most modeling work done in Python. It would be really handy if we
> can do the calibration in Python too.
>
> For now, I managed to write a python version utilizing the FRARateHelper
> for the quotes and iteratively bootstrapping instruments. Error might be
> acceptable for some trading purpose.
>
>
>
>
> ----- 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: Re: [Quantlib-users] Bootstrap non fixed-reset-number floating leg
> interest rate swap
> 日期：2025年09月23日 14点35分
>
> Hello,
>     no, there's no such class.  One should inherit from RateHelper and
> code it in C++.  Are these instruments the way rates are quoted in your
> market?
>
> Best,
>     Luigi
>
>
> On Mon, Sep 22, 2025 at 4:40 PM "范博伟" <hz...@si...> wrote:
>
> 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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