http://quantlib.414.s1.nabble.com/single-currency-basis-swap-pricing-tp15842p15847.html
like the general swap set up with two floating legs. However it does
not allow for on overnight index on its legs. Which could be added
easily though. Same with the implied spread. Maybe it would be nicer
> Hi Jean-Mathieu,
>
>
>
> Thank you very much for your quick answer. So, I’m going to implement a
> basis swap class that performs those calculations and does the job!
>
>
>
> Best,
>
>
>
> Pierre
>
>
>
>
>
>
>
> From: Jean-Mathieu Vermosen [mailto:
[hidden email]]
> Sent: Monday, September 08, 2014 12:17 PM
> To: Grison PG Pierre (External DEXIA-US)
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] single currency basis swap pricing
>
>
>
> Hi Pierre,
>
>
>
> I’m not sure the floatfloatswap class is fully functional right now.
>
>
>
> Alternatively, you can build each leg using its predefined constructor
> (iborLeg in ql/cashflows/iborCoupon.hpp, OvernightLeg in
> ql/cashflows/overnightindexedcoupon.hpp, etc) and pass the legs to the
> generic quantlib::swap constructor.
>
>
>
> However, getting the fair spread value requires to set some 1D optimization
> loop, and I doubt this functionality has been implemented yet except for the
> fixed/float vanillaSwap class.
>
>
>
> Best,
>
>
>
> Jean-Mathieu Vermosen
>
>
>
> On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US)
> <
[hidden email]> wrote:
>
>
>
> 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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