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From: Christofer B. <bog...@gm...> - 2023-10-25 21:40:01
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Hi, I have a broad framework of an IRS contract which is as below. In this IRS, the cashflows from fixed and floating legs (assuming quarterly payment based on some LIBOR kind index) is derived in one currency. However swap's NPV will be based on some other currency, typically USD, and also discounting will be based on USD SOFR. Typically this type of contracts are termed as Non deliverable IRS. I am looking for a way how I can use Swap-bulder in QL to contract and calculate NPV of this contract? I am also not sure what the valuation formula is for this contract. So any book and/or online resources would be highly appreciated. Thanks, |