Re: Bootstrapping AUD Swaps curve

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-AUD-Swaps-curve-tp16586p16587.html

Hi Ben,

    I'm not that familiar with QuantLibXL (I'm writing this from a Linux box) but from looking at the code, it seems like you might try using qlIborIndex instead of qlLibor. The latter seems to be rather constrained in the currencies it can take. qlIborIndex has no such restriction.

Hope this helps,

    Luigi

On Tue, May 26, 2015 at 2:52 AM, Ben and Sonia <[hidden email]> wrote:

Hi,

 

This is the first time I have use this forum, so I hope that this question is appropriate. I am using QuantlibXL and I am trying to build an AUD swaps curve. The first problem I am facing is the BBSW index. I see that there is a Euibor and Libor, but no BBSW. I did try and create an AUD Libor but got this; “qlLibor - Unhandled currency AUD”. Looks like I perhaps need to use qlProxyIbor, but struggling to get this working (I get “qlProxyIbor - Unknown id for Type:”. Is there any examples of building an BBSW index, or even examples of building an AUD curve. That would be appreciated.

 

Regards

 

Ben

 

 

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