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CPI swap QuantLib-swig - floating to CPI

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CPI swap QuantLib-swig - floating to CPI

Charles Allderman
13 posts
Hi

Using Python I would like to price a floating to CPI plus a real-rate swap. One leg would be say LIBOR on a total return basis payable quarterly and the other leg the change in the CPI index relative to a reference rate plus a real rate when the swap is struck. Do I need to use the class CPISwap which does not seem to be ported to swig yet?

Thanks
Charles