New answers tagged

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, ...


Top 50 recent answers are included