Bootstraping US Zero curve from Quantlib XL

[imachabeli]

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?
 

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[Eric Ehlers-2]

> 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?

Please see

http://sourceforge.net/mailarchive/forum.php?thread_name=BAY113-F3208C9DA452C2D580D69FFDACC0%40phx.gbl&forum_name=quantlib-users

Thanks,
Eric


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