Posted by
Ferdinando Ametrano-4 on
URL: http://quantlib.414.s1.nabble.com/swap-curves-tp7896p7897.html
On Thu, Aug 27, 2009 at 6:37 PM, <
[hidden email]> wrote:
> 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?
yes, you can
> How would one do this?
some SwapRateHelper constructors take the iborIndex as input, others
take the swapIndex which would have to be created with the appropriate
iborIndex
> Also, does the choice of a term structure day counter matter at all?
> [...]
> are there any instances where it would matter which daycounter was used?
it does not matter as long as it is a strictly monotonically
increasing daycounter.
You must pay attention to use the same daycounter for all
yield/vol/etc termstructure, just in case they have to interact.
Besides using something like act/365 allow to to easily invert the
date->time mapping, and this can be handy in some circumstances
ciao -- Nando
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