What is the difference between RateHelper and RateHelper2 ?

[ElMariachi]

I was just noticing that the *2 functions don't include a parameter for the forward period / maturity of a particular instrument ... how does this get worked out in the curve stripper?

[MikeD]

one function takes a forward period (i.e. "1M"), while one takes a date (9/28/10)...

On Tue, Sep 28, 2010 at 1:16 PM, ElMariachi <[hidden email]> wrote:

I was just noticing that the *2 functions don't include a parameter for the
forward period / maturity of a particular instrument ... how does this get
worked out in the curve stripper?
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[ElMariachi]

This is confusing - the parameters for qlSwapRateHelper do not include a date param.

qlSwapRateHelper(ObjectId,Rate,SwapIndex,Spread,ForwardStart,Permanent,Trigger,Overwrite)

How does the curve stripper know the maturity of a given RateHelper object in this case?

- Luis

Mike DelMedico wrote

one function takes a forward period (i.e. "1M"), while one takes a date
(9/28/10)...

On Tue, Sep 28, 2010 at 1:16 PM, ElMariachi <[e-mail]> wrote:

>
> I was just noticing that the *2 functions don't include a parameter for the
> forward period / maturity of a particular instrument ... how does this get
> worked out in the curve stripper?
> --
> View this message in context:
> http://old.nabble.com/What-is-the-difference-between-RateHelper-and-RateHelper2---tp29831363p29831363.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
>
> ------------------------------------------------------------------------------
> Start uncovering the many advantages of virtual appliances
> and start using them to simplify application deployment and
> accelerate your shift to cloud computing.
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[MikeD]

http://quantlib.org/quantlibxl/func_ratehelpers.html#qlSwapRateHelper

On Tue, Sep 28, 2010 at 1:40 PM, ElMariachi <[hidden email]> wrote:

This is confusing - the parameters for qlSwapRateHelper do not include a date
param.

qlSwapRateHelper(ObjectId,Rate,SwapIndex,Spread,ForwardStart,Permanent,Trigger,Overwrite)

How does the curve stripper know the maturity of a given RateHelper object
in this case?

- Luis

Mike DelMedico wrote:
>
> one function takes a forward period (i.e. "1M"), while one takes a date
> (9/28/10)...
>
> On Tue, Sep 28, 2010 at 1:16 PM, ElMariachi <[hidden email]> wrote:
>
>>
>> I was just noticing that the *2 functions don't include a parameter for
>> the
>> forward period / maturity of a particular instrument ... how does this
>> get
>> worked out in the curve stripper?
>> --
>> View this message in context:
>> http://old.nabble.com/What-is-the-difference-between-RateHelper-and-RateHelper2---tp29831363p29831363.html
>> Sent from the quantlib-users mailing list archive at Nabble.com.
>>
>>
>>
>> ------------------------------------------------------------------------------
>> Start uncovering the many advantages of virtual appliances
>> and start using them to simplify application deployment and
>> accelerate your shift to cloud computing.
>> http://p.sf.net/sfu/novell-sfdev2dev
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>
> ------------------------------------------------------------------------------
> Start uncovering the many advantages of virtual appliances
> and start using them to simplify application deployment and
> accelerate your shift to cloud computing.
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> _______________________________________________
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> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>

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[Luigi Ballabio]

On Tue, 2010-09-28 at 11:40 -0700, ElMariachi wrote:
> This is confusing - the parameters for qlSwapRateHelper do not include a date
> param.
>
> qlSwapRateHelper(ObjectId,Rate,SwapIndex,Spread,ForwardStart,Permanent,Trigger,Overwrite)
>
> How does the curve stripper know the maturity of a given RateHelper object
> in this case?

>From today's date and the tenor of the swap-rate index (the SwapIndex
parameter).

Luigi


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3) Write down the solution.



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