Bootstrap 3M Curve from SA swaps and 6Mv3M Basis

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

Bootstrap 3M Curve from SA swaps and 6Mv3M Basis

BP_QLibXL_User
Hi,

I'm trying to bootstrap a 3M curve but only have data for (GBP) SA swaps and 6Mv3M basis. For the SwapRateHelpers I have set the FixedLegFrequency as SemiAnnual, the IborIndex as 3M Libor and the spread as the 6Mv3M basis. Is this the correct way of setting up the SwapRateHelpers?

Thanks,
Brian