Re: [Quantlib-users] qlXibor and defining floating rates other Euribor in QuantlibXL

[Manzoni K. <kat...@gm...>]

Hi Wilkie,

in order to construct correcly a qlXibor object you need to provide an
already existing term structure. For example you could have
qlXibor("myXibor", "Usdibor", "2M", 2, "USD", "UnitedStates::NYSE",
"Modified Following", "Actual/360", "UsdYieldCurve"), where the term
structure UsdYieldCurve has been previously set up (using for example
the function qlPiecewiseYieldCurve). The purpose of this parameter is
to allow the calculation of forecasted fixings.

qlXibor() is the right place to start if you aim to build Ibor- and
Libor-like indexes in QLXL.

Hope this helps.
Regards,
Katie



On 8/29/06, Wilkie Lai <inf...@ya...> wrote:
> Hi all,
> 1.) In calling qlXibor() from QuantlibXL I was unable
> to create the object successfully.  I have all
> parameters lined up as defined except maybe for
> "TermStructureId".  I am not sure if this should be a
> pre-created object, and for what purpose this is
> required.  However if I put in a random "Test" string
> then all I got is a "#NUM!" error.
>
> 2.) In fact what I am trying is to create Xibor
> rates(or more generic floating rates) other than that
> of Euribor (which has been pre-built in 0.3.13).
> qlXibor() seems to be the place to start but if I am
> getting it all wrong can someone please point out what
> the right approach should be?
>
> Regards,
> Wilkie
>
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