Hello,
at this time there's still no direct way to bump a range of forwards; there's an InterpolatedPiecewiseZeroSpreadedTermStructure (exported to Python as SpreadedLinearZeroInterpolatedTermStructure) that allows one to bump zero rates, but I'm not sure if that helps.
If someone has some time to contribute, it shouldn't be much work to do something similar for forwards and export it to Python. Let me know if there's any volunteers and I'll advise.
Luigi
On Fri, Aug 19, 2016 at 8:31 AM alexander baker <
[hidden email]> wrote:
I am trying to figure out how to easily bump a date range of forward rates prior to valuation of a vanilla swap. I am using quantlib 1.8.1 via SWIG generated python bindings. Perhaps someone can share whether this is achievable?
Regards
Alex
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