LZ40
LZ40
Am I missing something here? I can see this engine which is what you after? `ql.BachelierSwaptionEngine`
Ah ok got it thanks @kp9991-git
That's brilliant. Much appreciated @paolodelia99
@paolodelia99 thanks again for looking into this. In your #2248 , would you also make a CrossCcyFixFloatSwapHelper please? Or I need to open a new issue to request for that...
Will do. Thank you @paolodelia99 .
Thank you @lballabio for keeping this issue alive. By chance there is a workaround to build step curves from futures at the moment please?
Hi @lballabio . Thanks for your response. On top of jump, the request was to allow forward rate to be flat and changed (stepped) on meeting day. By referring to...
Thanks for your response, @lballabio . I think the OvernightIndex futures are either IMM dated or mature at end of month and doesn't coincide with meeting dates. Appreciate if you...
Thanks @lballabio . I think something similar in CME Fedwatch tool in this URL. By using SOFR futures, there is a way to predict what is the market expectation on...
Brilliant! That's exactly what I am looking for based on your explanation! I will give it a try and close the issue if that works. Much appreciated @lballabio .