[Quantlib-users] Cross currency swap curve issue

[Aleksis A. R. <ale...@go...>]

Perhaps this is a naive question but when bootstrapping a cross currency curve using FXSwapHelper for short end and ConstNotionalCrossCurrencyBasisSwapHelper for the long end, I’m running into an issue where I need to specify the curve settlement date (curve_sett in the code below ) as T+2. This is to reflect correct valuation of the cross currency swaps when priced off the curve. However, for FXSwapHelpers curve_sett should be T+0 - this is so that ON and TN FX swaps can be used in the helpers and repriced correctly. The code used is below.

How does one get around this issue (without having to work with two separate curves, or without leaving out ON and TN from the FXSwapHelpers)?

Thanks, Aleksis

# FX swaps
fxSwapHelpers = [ql.FxSwapRateHelper(ql.QuoteHandle(q),
                                     ql.QuoteHandle(FX),
                                     m,
                                     int(d),
                                     calendar,
                                     business_convention_base,
                                     end_of_month,
                                     True,
                                     collateral_curve)
                 for d, q, m in zip(dffxswapsFXspotlag, fxswap_quotes, dffxswapsmaturity)]

# xccy basis curve
swap_helpers_xccybasis = [ql.ConstNotionalCrossCurrencyBasisSwapRateHelper(ql.QuoteHandle(q),
                                                                           m,
                                                                           int(d),
                                                                           calendar,
                                                                           business_convention_quote,
                                                                           end_of_month,
                                                                           index_base,
                                                                           index_quote,
                                                                           collateral_curve,
                                                                           True,
                                                                           False)
                          for q, m, d in zip(xccybasisquotes, xccybasismaturies, dfxccybasisFXspotlag)]

rate_helpers_xccybasis = fxSwapHelpers + swap_helpers_xccybasis
curve_basis = curve_interpolation(curve_sett, calendar, rate_helpers_xccybasis, curve_daycount)
curve_basis.enableExtrapolation()
final_curve_basis = ql.RelinkableYieldTermStructureHandle(curve_basis)