Thread: [Quantlib-dev] Coupons with multiple resets

Hello Luigi, regarding IRS that pay less frequently than the index resets.

A real example would be the Canadian swap based on CDOR3M Index. They pay semi-annually while resetting quarterly.
In your article here https://www.implementingquantlib.com/2025/02/multiple-resets.html, you explain how to price those type of swaps, but my question is how to bootstrap the forward zero curve using the ql.SwapRateHelper object. Does QuantLib understand that the index resets quarterly, if we define the index tenor as ql.Period(“3M”) ? Or is there a way to precise in the swap helper object that there is a quarterly reset ?

Thank you very much,

Léopold

Hello Leopold,
    the multiple-reset feature is relatively recent and it's not available
in SwapRateHelper.  There is an open issue about this (
https://github.com/lballabio/QuantLib/issues/2138) so thanks for
posting—I'll point to this thread in that issue as further evidence.
You can follow the issue to check if there's any progress.

Best,
    Luigi


On Thu, Mar 27, 2025 at 2:41 PM Leopold Coupet <lc...@ra...> wrote:

> Hello Luigi, regarding IRS that pay less frequently than the index resets.
>
> A real example would be the Canadian swap based on CDOR3M Index. They pay
> semi-annually while resetting quarterly.
> In your article here
> https://www.implementingquantlib.com/2025/02/multiple-resets.html, you
> explain how to price those type of swaps, but my question is how to
> bootstrap the forward zero curve using the ql.SwapRateHelper object. Does
> QuantLib understand that the index resets quarterly, if we define the index
> tenor as ql.Period(“3M”) ? Or is there a way to precise in the swap helper
> object that there is a quarterly reset ?
>
> Thank you very much,
>
> Léopold
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