IboxIndex in SwapRateHelper

[Mattia Maetini]

Hi everybody,
now I can use (i think correctly) in C#.net also the structure for evaluate the yield curve.

I can't understand what is the parameter IborIndex in the SwapRateHelper; i have search it in the example of swapevaluation.cpp but I can't understand what it means.

Can you help me? Can be the maturity of instrument that i would evaluate?
For example, if I would evaluate the Euribor 6 month, IborIndex is 6 month???

PS: if you have any question about use of QuantLib with C#.net (using visual studio 2008) I'm very happy to help you..if I can :-)

Mattia

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[Ferdinando Ametrano-4]

On Tue, Jun 30, 2009 at 10:19 PM, Mattia Maetini<[hidden email]> wrote:
> I can't understand what is the parameter IborIndex in the SwapRateHelper;
> [...] Can be the maturity of instrument that i would evaluate?
> For example, if I would evaluate the Euribor 6 month, IborIndex is 6
> month???

IborIndex is the base class for Euribor and Libor indexes of different tenors.
In the case of SwapRateHelper it is used for the swap floating leg

ciao -- Nando

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[Luigi Ballabio]

On Tue, 2009-06-30 at 22:19 +0200, Mattia Maetini wrote:
> I can't understand what is the parameter IborIndex in the
> SwapRateHelper; i have search it in the example of swapevaluation.cpp
> but I can't understand what it means.

It's an instance of the floating index to use. For 6-months Euribor, it
would be an instance of the Euribor class. I'm not familiar with C#, but
from the examples, I guess it would be something like

IborIndex euribor6m = new Euribor(6, TimeUnit.Months);


Luigi


--

I've finally learned what `upward compatible' means. It means we
get to keep all our old mistakes.
-- Dennie van Tassel



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