Menu
▾
▴
Re: [Quantlib-users] Discount and forward Curve building via CSA Discounting for IRS/CCIRS valuation
|
From: Jen V. <ge...@gm...> - 2022-08-03 06:31:03
|
Hi Ben, Marcin! Thank you for information. I will delve into the subtleties. Regards, Jen Vass вт, 2 авг. 2022 г. в 16:03, Marcin Rybacki <mry...@gm...>: > Hi Jen, Ben, > > Yes, you can build a CSA curve directly in QuantLib. For that you could > use the cross currency basis swap rate helper (either constant or resetting > notional options are available) or the FX swap rate helper to imply the > basis from FX instruments. > The helpers take the collateral currency risk-free curve handle as > parameter, so the final bootstrapped curve will be the desired CSA curve. > > For references in C++ you could check the unit tests for cross currency > rate helpers: > > https://github.com/lballabio/QuantLib/blob/master/test-suite/crosscurrencyratehelpers.cpp > > There are also unit tests in Python that demonstrate how the CSA curve can > be built: > > https://github.com/lballabio/QuantLib-SWIG/blob/84b07cb77639f251b46838cbfeebdea4ca01e2ef/Python/test/ratehelpers.py#L614 > > Hope this helps. > > Regards, > Marcin > > On Tue, 2 Aug 2022 at 14:45, Ben Watson <ben...@ma...> > wrote: > >> It supports a different discount curve to the forward curve. For CSA >> discounting I manually built the curves from the XCCY basis curves and the >> local collateral curve. This was done by manually FX adjusting the DF from >> using XCCY curves and building a new curve from the discount factors. >> >> >> >> However with the newly RFR XCCY basis being directly quoted just need to >> add the basis to your RFR curves…. >> >> For example I have a SOFR.USD curve, and there is a direct RFR XCCY basis >> to get to SONIA. So add the basis to the SONIA curve and you get SOFR.GBP – >> this becomes your collateral curve when GBP is posted against a USD swap. >> >> >> >> Hope that help >> >> >> >> Ben >> >> >> >> >> >> *From:* Jen Vass <ge...@gm...> >> *Sent:* Tuesday, 2 August 2022 9:11 PM >> *To:* Qua...@li... >> *Subject:* [Quantlib-users] Discount and forward Curve building via CSA >> Discounting for IRS/CCIRS valuation >> >> >> >> Dear quantlib users! >> >> >> >> I need your help. Could you please advise - does quantlib support CSA >> discounting when collateral posted in difference currencies? Are there any >> examples? >> >> >> >> Thank you in advance, >> >> Eugenia Vaissel >> _______________________________________________ >> QuantLib-users mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > |
