JHM Darbyshire

Do you happen to know their specs in this format: ``` defaults.spec["usd_irs"] Out[1]: {'frequency': 'a', 'stub': 'shortfront', 'eom': False, 'modifier': 'mf', 'calendar': 'nyc', 'payment_lag': 2, 'currency': 'usd', 'convention': 'act360', 'leg2_spread_compound_method':...

I dont think there are AUD or NZD calendars. So probably need to define those first as well. Do you know how they work, or better yet can you share...

The Syndey calendar is correct. I have coded and tested that against RFR fixings. However, I have no data (or havent looked) for NZD. But of you can supply holiday...

Are you sure there is a payment lag on the IBOR? For other currencies usually this is 2 for RFR and 0 for IBOR related (because the cashflows is know...

New Zealand... ```python defaults.spec["nzd_irs3"] = {'frequency': 's', 'stub': 'shortfront', 'eom': True, 'modifier': 'mf', 'calendar': 'wlg', 'payment_lag': 0, 'currency': 'nzd', 'convention': 'act365f', 'leg2_frequency': 'q' 'leg2_spread_compound_method': 'none_simple', 'leg2_fixing_method': 'ibor' 'leg2_method_param': 0 }...

Those spec are vs NZD and AUD RFR rates. Is there not a more common XCS for each of those that settles against the term IBOR style rate, i.e.: ```python...

re open this if provided specs do not satisfy requirements.

Two things I have observed occasionally with Solvers: 1) Initially guessing DFs at 1.0 for every node (i.e rates at 0%) means the first iteration might overshoot and determine a...

OK, so coming back to the pricing issue. For the inflation linked bonds I have seen, pricing is done in real space and the indexed up prices are determined in...

Also when you construct the `IndexCurve` the parameter `index_base` is not "solved". You need to input the known `index_base` for the initial node date of the *Curve*. This is also...