[Quantlib-dev] Boostrapping TS in QuantLibXL

[Aurelien C. <aur...@gm...>]

Hi Eric, hi all,

What's the smartest way to do the following in QuantLibXL 0.4.0 :
- boostrap a term structure...
- based on swap instruments...
- whose floating legs rely on a shared Euribor object...
- whose associated (forecasting) term structure is the term structure
I want to bootstrap ?

It used to be fairly straightforward in 0.3.12 but it appears to be
more complicated in 0.4.0. The only and somewhat circumvented way I
was able to do that is :
1. create a dummy term structure (say TS1) ;
2. create my Euribor object based on TS1 ;
3. create swap rate helpers based on my Euribor object ;
4. create a term structure (say TS2) ;
5. call qlSetEuriborTermStructure to link my Euribor object to TS2 ;
6. we're now ready to boostrap TS2 and price some securities.

Thanks in advance.

Aurelien