Re: [Quantlib-users] Cross Currency Basis Swap

[Marcin R. <mry...@gm...>]

Hi Levan,

To my knowledge, there is no implementation for a cross currency basis swap
instrument available in the library. Only, as you pointed out, there is a
rate helper to bootstrap the cross currency basis.

A possible way to replicate it and still use the features of an instrument
(e.g. caching) is presented in the unit tests of the
CrossCurrencyBasisSwapRateHelper. It is done by building two separate
swaps, each having one leg only, linked to either domestic or foreign
notional.

Hope this helps.

Regards,
Marcin

On Mon, 30 Aug 2021 at 13:58, <lev...@gm...> wrote:

> 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
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