1
$\begingroup$

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?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.