I am looking for someone for a small consulting project to implement Quantlib code to do vanilla IRS swap valuation. The project has two
parts. The first part is to value USD fwd swaps and only uses a single
currency to bootstrap the curve. The second part is to include basis
swaps in the curve building for some European and Asian currencies. I
already have most of the first part done in C++, but am running into
some problems on a couple of bad dates, etc. The code is written now to
hit a database, but I can provide all the test data needed in csv
format. I have the raw data and a set of forward swap rates for comparison. The ideal person for this will be familiar with Quantlib *and* familiar with swap valuation.
Cheers,
Jeff Burnett
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