Using the following Python code I am setting USD LIBOR Swap quotes. I found that by default settlementdays uses whatever is associated with the Index (in C++:
if (settlementDays_==Null<Natural>()) settlementDays_ = iborIndex->fixingDays();). If I wanted to explicitly set
settlementDays = 0, how can I do that? I tried just use
settlementDays = 0, but the code does not seem to like named argument here. How would I go about setting that without having to also specify
I do not want to use a different curve, and don't quite understand how I can reference a curve that does not yet exist. Thank you in advance!
s_helpers = [ SwapRateHelper(rate/100.0, tenor, l_calendar, Semiannual, l_pmt_conv, Thirty360(), USDLibor(Period(3, Months))) for tenor, rate in [(Period(1,Years), 2.395), (Period(2,Years), 2.575), (Period(3,Years), 2.651), (Period(5,Years), 2.704), (Period(7,Years), 2.734), (Period(10,Years), 2.779), (Period(30,Years), 2.822)] ]