Joost,
there's no basis-swap helper, per se, but you can work around it.
The idea is explained in
<
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548> by
Ametrano and Bianchetti. In short: if the basis swap is quoted as the
difference of two fixed-vs-floater swaps, you can add (subtract?) the
3M6M spread directly to the 6M rate and use the result as the quote to
pass to a SwapRateHelper. If the basis swap is quoted as a
floater-vs-floater swap, you'll use a SwapRateHelper again and you'll
pass the 6M rate as the swap rate and the 3M6M spread as an additional
spread (there's a specific "spread" parameter you can pass to the
constructor).
Hope this helps,
Luigi
On Wed, Sep 24, 2014 at 10:28 AM, Joost Geerdink <
[hidden email]> wrote:
> Hi all,
>
> In the ratehelpers list I didn't find float-float swaps. My goal is to
> bootstrap e.g. a 3M curve using a 6M curve and 3M6M basis, for which I
> assume I need to bootstrap the 6M curve and create ratehelpers of type basis
> swaps?
>
> Is this the correct way to approach it? It is feasible? Are there maybe even
> examples or papers on how to do this?
>
> Kind regards,
>
> Joost B.W. Geerdink
>
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