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Added market quote for swaps to extend the parRate #1972

merged 2 commits into from May 20, 2019


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@marc-henrard marc-henrard commented May 20, 2019

ParRate is available for swap with a fixed leg.
The goal is to obtain a unified mechanism to compute par rate for fixed v floating swaps and to compute basis spread for basis swaps.
This is the way the market quote those different instruments.
The method will be used in synthetic curve calibration when the target nodes have basis or cross-currency swaps.

@marc-henrard marc-henrard merged commit 35da05f into master May 20, 2019
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@delete-merged-branch delete-merged-branch bot deleted the wip/swap-market-quote branch May 20, 2019
@jodastephen jodastephen added this to the v2.4 milestone May 31, 2019
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3 participants