Login  Register

Bootstraping US Zero curve from Quantlib XL

Posted by imachabeli on Aug 29, 2007; 11:06pm
URL: http://quantlib.414.s1.nabble.com/Bootstraping-US-Zero-curve-from-Quantlib-XL-tp1301.html

I' trying to build US libor curve using XL addin.
I get stuck at the point when ql requires to create ratehelper for libor.
I used YC_SwapDemo.xls as sample. qlSwapRateHelper needs an object for fixed
leg.
For euro there are predefined object like "EURIBOR6M" that defaults in its
constructor to UK calendar. Is there any other way to create ratehelper and
termstructure or I have to add similar classes to US Libor?

_________________________________________________________________
Messenger Café — open for fun 24/7. Hot games, cool activities served daily.
Visit now. http://cafemessenger.com?ocid=TXT_TAGHM_AugHMtagline



-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems?  Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>  http://get.splunk.com/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users