New answers tagged yield-curve
While @Baruch Youssin answers correctly in the general sense, the first part of his answer isn't what happened in the example code. While QLNet is a port of QuantLib, it's not a direct port. Your quoted example doesn't show up in QLNet. The example in QuantLib was written in a very complicated way, in fact it's a simple example. discountingTermStructure is ...
Libor is indeed usually fixed in advance (and paid in arrears). Thus, in your example the first fixing date will be 2 business days before March 5th, and the second fixing date will be 2 business days before June 5th. Usually, therefore, the first fixing is already known when the swap is traded. You say that the Libor leg is paid semi-annually - that's not ...
I do not yet know QuantLib but one question is general and easy to answer: My first question is why do they use different yield curve? These two curves differ by risk levels inherent in them - the credit spreads over the risk-free yield curve (e.g., the OIS curve). The discounting curve, discountingTermStructure, embeds the risk that this particular ...
Here you can find what you need for. It explains how to build & price a basis swap curve in a step-by-step procedure. The link leads on the 2nd page to the guide (relative to the question), but, I suggest you to start from the 1st post.
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