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.
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$\begingroup$ It's a really bad design to need a code change and a new class just to add a new index or currency. $\endgroup$– Dimitri VulisSep 15, 2022 at 17:12
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1$\begingroup$ I completely agree. See my answer. $\endgroup$– Luigi BallabioSep 15, 2022 at 21:09
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1 Answer
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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++.
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2$\begingroup$ Great. According to assets.bbhub.io/professional/sites/10/… Attachment A, both legs use Actual/365. $\endgroup$ Sep 15, 2022 at 23:20