Posted by
Luigi Ballabio on
Aug 31, 2009; 9:42am
URL: http://quantlib.414.s1.nabble.com/swap-curves-tp7896p7898.html
On Mon, 2009-08-31 at 11:21 +0200, Ferdinando Ametrano wrote:
> 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
The missing piece (which might not be obvious) is that before passing it
to the SwapRateHelper you'll have to call iborIndex->addFixing() on the
3-month LIBOR index to add the quoted rate as today's fixing.
Luigi
--
Skinner's Constant (or Flannagan's Finagling Factor):
That quantity which, when multiplied by, divided by, added to,
or subtracted from the answer you got, gives you the answer you
should have gotten.
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