Delta Ladder call for swaps
Posted by
Vlad F. on
Mar 03, 2010; 4:24pm
URL: http://quantlib.414.s1.nabble.com/Delta-Ladder-call-for-swaps-tp8508.html
Hi,
I was looking around QuantLib to see if there is a “delta ladder” call for swaps, but I couldn’t find it or anything similar to that.
Is there such a call in QuantLib? If there is no such call, what would be the best way getting the results?
One way that I was thinking of extracting the delta is to create two Yield Curves with the same structure but with two sets of rates differing by 1BP. Then using PiecewiseYieldCurveData to find the delta. Is there a better approach?
Any help would be appreciated.
Thanks,
Vlad
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