Re: single currency basis swap pricing

Posted by Jean-Mathieu Vermosen-2 on
URL: http://quantlib.414.s1.nabble.com/single-currency-basis-swap-pricing-tp15842p15849.html

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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