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Re: [Quantlib-users] Cross Currency Basis Swap
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From: Gorazd B. <gor...@gm...> - 2021-08-30 12:29:17
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>From as much as I have studied the library, the helpers do not hold the instrument referenced, used for bootstrapping the curve, so I'm not surprised that there is no implementation of the cross currency swap. I assume that the reason is that the pricing/risking of the instrument is linked to a curve, and for the case of bootstrapping the curve, the said curve is not yet constructed. Regards, G On Mon, Aug 30, 2021 at 8:16 AM Marcin Rybacki <mry...@gm...> wrote: > > 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 >> >> _______________________________________________ >> QuantLib-users mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |
