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#83 RateHelper for compounding swaps (basis swaps)

None
closed
nobody
None
5
2019-01-02
2016-01-26
No

This code implements a RateHelper for basis swaps, which use compounding coupons. For this purpose the existing code from experimental/coupons/subperiodcoupons was taken but significantly changed. All common spread types are supported.
The code was tested against a production environment and concluded with a perfect match.

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Discussion

  • Luigi Ballabio

    Luigi Ballabio - 2017-12-05

    May you submit this as a pull request on https://github.com/lballabio/QuantLib?

     
  • Luigi Ballabio

    Luigi Ballabio - 2019-01-02
    • status: open --> closed
    • Group: -->
     

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