New answers tagged financial-engineering
1
The FloatFloatSwap class does not have a method to solve for the spread but you can use a solver to find it.
Do something like this...
def basisFairValue(spread):
basisSwap = ql.FloatFloatSwap(ql.VanillaSwap.Payer,
[notional] * size3m,
[notional] * size6m,
float3m,
index3m,
...
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