Is it possible to bootstrap using basis swaps?

Posted by ikku100 on Sep 24, 2014; 8:26am
URL: http://quantlib.414.s1.nabble.com/Is-it-possible-to-bootstrap-using-basis-swaps-tp15912.html

Hi all,

In the ratehelpers list I didn't find float-float swaps. My goal is to bootstrap e.g. a 3M curve using a 6M curve and 3M6M basis, for which I assume I need to bootstrap the 6M curve and create ratehelpers of type basis swaps?

Is this the correct way to approach it? It is feasible? Are there maybe even examples or papers on how to do this?

Kind regards,

Joost B.W. Geerdink

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