Re: yield curve bootstrapping

Posted by zlee on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5470.html

two questions related to bootstrapping for different currency. First, does the swapRateHelper take care of floating leg UK holidays? It seems that it does not. If it is true, does the UK holiday list have to be inputed to the used calendar for pricing a USD swap for instance. Another question is if there is an option for piecewise quadratic forward termstructure. Thanks.