Posted by
elton wang on
URL: http://quantlib.414.s1.nabble.com/ask-help-on-swapratehelper-earilst-date-tp5432.html
Sorry for asking stupid questions: Could anybody help
me on the use of SwapRateHelper? In the relavant code
below, the evaluation date is 01/17, settlement date
is 01/22, but the swapratehelper s1y gives an earilest
datet 01/21 so the bootstrap fails.
Thanks a lot!
Calendar calendar =UnitedStates();
Date todaysDate(17,Jan,2008);
Integer fixingDays = 2;
Date settlementDate = calendar.advance(todaysDate,
fixingDays, Days);
Settings::instance().evaluationDate() = todaysDate;
Frequency swFixedLegFrequency = Semiannual;
BusinessDayConvention swFixedLegConvention =
ModifiedFollowing;
DayCounter swFixedLegDayCounter =
Thirty360(Thirty360::USA);
boost::shared_ptr<IborIndex>
swFloatingLegIndex(new USDLibor(Period(3,Months)));
boost::shared_ptr<RateHelper> s1y(new
SwapRateHelper(
Handle<Quote>(s1yRate), 1*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex));
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