azarxa

SwapRateHelper also does not appear to take in a separate payment calendar & business day convention. This is relevant when bootstrapping a curve with swaps which need to have accrual...

> > SwapRateHelper also does not appear to take in a separate payment calendar & business day convention. This is relevant when bootstrapping a curve with swaps which need to...

Create a swap using ql.Swap(ql.FixedRateLeg,ql.IborLeg) class where the ql.IborLeg has a ql.BlackIborCouponPricer with timing adjustment applied to it. Then value this swap off a curve constructed using SwapRateHelpers. Then there...