forDates extension method of SwapRateHelpers not available in Python

[Adefoucauld]

Hi,
The extension method of class is not available in Python. Is there any alternative using another helper that could mimic the same pattern ?

[boring-cyborg]

Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.

[lballabio]

The method was added only recently and was not yet available in version 1.36. It will be in 1.37. If you want to try it out now, you'll have to get the current code from GitHub and compile the library and the wrappers.

[Adefoucauld]

Hi,
Thank you very much for your quick answer !
Our problem is that we are currently building the curve with ATM swaptions strikes as forward swap rates. If we use SwapRateHelper with forward start, the settlement lag adjustment will be applied to the present-value date rather than to (present-value + fwd-start) date hence we will be off. I don't know if I explained myself well enough but in case I did: would you see some workaround for this before Quantlib 1.37?

And regarding the release of version 1.37, is there any rough estimate of when would it be available ?
Thanks a lot and I am looking very much forward to your reply !

[lballabio]

If I understand correctly, you're saying that currently the helper does (today + settlement days) + fwd start, while you need (today + fwd start) + settlement days instead, right? If that's the case, no, I don't think you can work around it.

1.37 is planned for some point in the first half of January.

[Adefoucauld]

Thanks for your quick reply ! That is exactly what I meant, which lead to inconsistencies in calendar dates.

Perfect for the information on the next release, thank you ! Looking forward to it !