Posted by
MonkeyMan-3 on
URL: http://quantlib.414.s1.nabble.com/Missing-USDLibor6M-Actual-360-fixing-tp7050p7066.html
Mike DelMedico <mike.delmedico <at> gmail.com> writes:
>
> I'm almost 100% sure QL is doing #1 (May 18 2009 - Aug 17 2009), since
> that would be the rate that matches the true accrual period.
I agree.
> Remember that you need to pass old libor fixings (3M) to the curve in
> order to generate swaps that have already become effective (i.e. their
> cashflows have started to transfer between parties). Use the function
> =qlIndexAddFixings.
>
Thanks. I didn't know about this function.
In my example I take the deposit, futures, and spot swap rates observed at time
0 and simply want to calculate a forward rate as of time 0. I don't have any
swaps that started in the past. I really don't know why Quantlib is backup up
past my eval date to start the swap.
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