backward start swap helper needed

[lennieye]

In the inflation market, traders often use a so-called backward start inflation swap to build the front-end curve. For instance, BBG ticker BPSWIH8, covers an inflation index fixing period from August 2023 to August 2025. The mechanics of this structure are relatively straightforward: we know the fixing of Aug 2023, and the market is trading on Aug 2025. Currently, it appears that there is no dedicated swap helper class capable of incorporating a historical start date directly into the process of curve fitting. In the context of building an inflation curve, I manually derive a zero-coupon inflation rate and employ the ZeroCouponInflationSwapHelper. I am wondering if we need to have a separate class to achieve this purpose.

[boring-cyborg[bot]]

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[lballabio]

Hi—yes, it would be nice to have if that's what people need to use.

[eltoder]

@lennieye do you mean something like a DatedSwapRateHelper (#1912) but for inflation swaps?

[lennieye]

Yes exactly. I managed to use python script and created synthetic zero couple inflation swap rate to feed into curve builder.