Hello,
> I' trying to build US libor curve using XL addin.
> I get stuck at the point when ql requires to create ratehelper for libor.
> I used YC_SwapDemo.xls as sample. qlSwapRateHelper needs an object for
> fixed
> leg.
> For euro there are predefined object like "EURIBOR6M" that defaults in its
> constructor to UK calendar. Is there any other way to create ratehelper
> and
> termstructure or I have to add similar classes to US Libor?
As you noted the enumerations are implemented only for EUR but you can use
function qlIborIndex() to create a USD index. For an example of
bootstrapping a yield curve please see workbook
QuantLibXL\Workbooks\StandaloneExamples\MarketData.xls in the 0.8.0
release. Note that
- A dummy index pointing to an empty yield curve is used as an input to
the rate helpers
- After the YC is bootstrapped a call is made to
qlSetEuriborTermStructure() which redirects all the enumerated indices to
the new term structure
You would need to make the following changes for USD:
- Create indices explicitly rather than using the enumerations "EURIBOR6M"
etc.
- As there is no USD equivalent for qlSetEuriborTermStructure() you would
instead have to create new USD index objects dependent on the TS
I've received email from others who followed this approach for USD and it
seemed to work.
Regards,
Eric
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