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I tried to value a simple IRS in QuantLib and failed. I have few questions, which will probably help to resolve these issues. Would be super grateful for answers in these matters.

  1. When I set up a valuation curve, e.g. valCurve = ql.RelinkableYieldTermStructure(SofrCurve). Sofr curve is built with PieacewiseLogCubicDiscount. But what about SofrCurve dates and rates? If I provided helpers for some days, does QuantLib interpolate between them? If no, how to do that?

  2. I have a forward curve at the time during swap life and historical ON rates. Normally, you can value the swap. However, in QuantLib it seems that I need to build a curve at the start of the swap and the relink new curve? Is that true, is there a way to avoid this?

Thank you!

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  • $\begingroup$ Related: quant.stackexchange.com/questions/75513 $\endgroup$
    – Dimitri Vulis
    Commented Mar 18 at 12:17
  • $\begingroup$ Yes, I saw that. Still, these are my questions $\endgroup$
    – Antek
    Commented Mar 18 at 12:55
  • $\begingroup$ 1. Yes, it uses log-linear interpolation of discounts and 2. the forward curve at the time during swap life and historical rates are ok, you can price the swap that way in QuantLib of course. May you post some code that shows what you're trying to do? $\endgroup$
    – Luigi Ballabio
    Commented Mar 19 at 12:25

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