Posted by
mudcrab on
Aug 27, 2009; 4:37pm
URL: http://quantlib.414.s1.nabble.com/swap-curves-tp7896.html
Hi there,
I have a question about the construction of swap curves in QuantLib.
Specifically, I am wondering about the case of the USD swaps curve (where
the floating frequency is quarterly): Can one exclude the 3 Month LIBOR
cash rate from the curve, but include it as the current reset rate for the
swaps embedded in the SwapRateHelper somehow? How would one do this?
Also, does the choice of a term structure day counter matter at all?
The swapvaluation example has these lines:
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);
are there any instances where it would matter which daycounter was used?
Thanks!
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