quantlib


xlquantlib bootstrapping Offshore KRW Curve


In xlQuantlib, I use function qlPiecewiseYieldCurve() to build USD curve, with depo rate for short end and swap rate for tenor > 1Y. However for offshore KRW market, it is not possible to trade on-shore deposit. What we can get from the market is the Non delivery Forward(NDF). Usually people would use NDF to calculate the implied depo rate.
Is there any function with Quantlib helps
to calculate implied depo rate?
Or is there any class likes DepositRateHelper
for for NDF rate which we can use directly as a parameter for qlPiecewiseYieldCurve()?
If yes, any example? thanks.
There's no function to calculate it directly. You'll have to do the calculation manually and pass the result to qlDepositRateHelper.

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