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

[Peter C. <pca...@gm...>]

I guess spot fx is somewhat implicit in the (initial) notionals of the two legs?
Peter

On Fri, 17 May 2024 at 03:34, Ben Watson <ben...@ma...> wrote:
>
> 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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