Re: [Quantlib-users] Arguments for ql.ConstNotionalCrossCurrencyBasisSwapRateHelper()

[Ben W. <ben...@ma...>]

cross currency basis is a spread over a floating index. We use this to
bootstrap curves. It is a direct quote, and no need for a spot FX rate.

The contrast is when we imply a basis over a floating index from forward fx
pips. In this case we need spot fx.

Ben

On Fri, 17 May 2024, 6:16 am Quant, <qua...@gm...> wrote:

> Hi Quantlib users,
>
> When using ql.ConstNotionalCrossCurrencySwapRateHelper() shown below, are
> we not supposed to have an argument for the quote FX rate? If not how do we
> adjust for the spot FX rate when bootstrapping the basis adjusted discount
> curve? Not sure if my question makes sense
>
>
> https://rkapl123.github.io/QLAnnotatedSource/d6/d3d/class_quant_lib_1_1_const_notional_cross_currency_basis_swap_rate_helper.html
>
> Thanks & regards,
> Nk
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