Re: [Quantlib-users] Cross Currency Basis Swap

[<lev...@gm...>]

Hi All,

 

Anybody could help me with my inquiry? Any hints will be highly appreciated.

 

Kind Regards,

 

Levan

 

From: lev...@gm... <lev...@gm...> 
Sent: Saturday, August 14, 2021 10:04 PM
To: qua...@li...
Subject: [Quantlib-users] Cross Currency Basis Swap

 

Hi everyone,

 

I have noticed that there is a cross currency basis swap rate helper added
to the Quantlib new release and it is also included in the ratehelpers test
cases in the Python implementation . However, I could not find the
instrument cross currency basis swap. I assume the helper is added to
bootstrap a cross currency basis curve, but what about pricing the
instrument itself? is there a way to do this?

 

Thanks in advance,

 

Levan