Re: [Quantlib-users] Does QuantLib have FXSwap and cross currency swap?

[CK T. <tun...@ya...>]

No, I believed there is no such cross currency instruments defined in QuantLib.  

If you want to build a CCS pricer, I think you have to bootstrap a discounting curve such as for EUR cashflows under USD collateral


> Ted Wong <won...@gm...> 於 17 Aug 2016 7:05 PM 寫道：
> 
> Hi,
> 
> Does QuantLib have FXSwap and cross currency swap instrument built in? I can see VanillaSwap.cpp, but I don't see a class with something similar to FXSwap and cross currency swap.
> 
> 
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