single currency basis swap pricing

Posted by Grison PG Pierre (External DEXIA-US) on
URL: http://quantlib.414.s1.nabble.com/single-currency-basis-swap-pricing-tp15842.html

Hello everyone,

 

Does anyone know how it is possible to price basis swap with QL (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?

 

Thank you,

 

Pierre

 

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