I am trying to create a spreadsheet using the Quantlib xll to convert deposit/swap rates to zero rates. I tried to implement such by referencing to the C++ code listed here:
However I am stuck at combining the depositRateHelper and swapRateHelper into RateHelper, as far as I know Quantlib XL does no thave the RateHelper object and trying to create a piecewiseyieldcurve by simply combining all depositRateHelper and SwapRateHelper object would result in an error as PieceWiseYieldCurve fails to take DepositRateHelper object and convert to RateHelper object.
Is there any way I can explicitly convert the DespositRateHelper into RateHelper? Or in general, if there is an easier way that would take a range of tenors and rates (one block for deposit rates and one block for swap rates) to give me a PieceWiseYieldCurve object for me to obtain the zero rates? My only requirement is to use the original QuantlibXL and create that on a Excel spreadsheet. Unfortunately I think there is very little documentation online specifically for the XLL.
Thanks a lot!