Preliminary 0.9.0 tarballs - SwapRateHelper::ImpliedQuote

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Preliminary-0-9-0-tarballs-tp11440p11456.html

Hi all,
 
I'm slightly confused as to how the spread is treated/used within this function.
 
I first thought it was a swap spread, thus this spread would be simply added onto the inputted swap rate and the stripper would do it's stuff.
 
But looking at it, it's more like a spread that is added onto every floating rate fixing within the underlying swap. This spread looks more like a basis swap spread.
 
Am I correct in assuming this?
 
If this is the case how does one price a basis swap from the construction of two floating legs back to back via this spreaded curve? I'm not really concerned about the actual QuantLib classes involved, just where does one pass in the yieldcurve handles.
 
To be a little clearer, we would now have two yieldcurves, (one without basis spreads and one with) and two different yieldcurve inputs for each floating leg.
 
Leg1 will have a discounting curve (probably embedded in a discounting engine) and a fixing curve (embedded in the index).
 
The same is true for leg2
 
Thus if one wanted to recreate the basis swap value entered into the yieldcurve stripper (lets say the 10Y point), what are the input yieldcurve combinations  (discounting/refixing) and (spreaded/non spreaded) for each leg?
 
Also there is a comment of "weak implementation" stated within this method...
 
Thanks in advance,
Toy out...
 
 

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