You can treat the FR007 swap like this: The fixed-rate leg is the same as the fixed-rate leg of the LIBOR swap. The floating rate can be treated as the combination of some 3-months maturity compound interest rate bonds. The rate will be reset weekly. I draw a picture and hope this can help me to explain the rule. enter image description here

I am not sure the Quantlib has some function that can deal with a swap like this, can someone give me some ideas?


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