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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
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