0
$\begingroup$

I didn't find the ILS Telbor class in QuantLib website and also reference online. Please let me know if we can value such swaps using QuantLib. For example ql.Euribor6M(), ql.GBPLibor(ql.Period('1M')), etc.

$\endgroup$
2
  • $\begingroup$ It's a really bad design to need a code change and a new class just to add a new index or currency. $\endgroup$ Sep 15, 2022 at 17:12
  • 1
    $\begingroup$ I completely agree. See my answer. $\endgroup$ Sep 15, 2022 at 21:09

1 Answer 1

2
$\begingroup$

There's no predefined Telbor class, but those are just for convenience. You can define your index with:

telbor6m = ql.IborIndex(
    "Telbor",
    ql.Period(6, ql.Months),
    fixing_days,
    ql.ILSCurrency(),
    ql.Israel(),
    rolling_convention,
    end_of_month,
    day_counter,
    forecast_handle
)

I haven't researched what the fixing days and the other conventions are; you can fill them in. The same works in C++.

$\endgroup$
1

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.