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

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

It does make sense, I was confused as well.

I think both the domestic and foreign leg are set up with the same notional 1.0. I.e. the conversion of the foreign leg’s npv to domestic currency is done implicitly by using identical nationals. I.e. we exploit the fact that the fx spot rate is the same as the ratio of nationals of the two legs. Therefore the fx spot is not needed to set up the helper. Smart.

> On 18. May 2024, at 18:41, Quant <qua...@gm...> wrote:
> 
> Hi Peter,
> 
> No, the spot fx is not declared anywhere in the bootstrapping hence my first question was why we don’t have an argument for the quote FX rate which would be used as the implied notional. Not sure if it’s making sense. 
> 
> Thanks & regards,
> Nk
> 
> On Sat, 18 May 2024 at 18:28, Peter Caspers <pca...@gm... <mailto:pca...@gm...>> wrote:
>> 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... <mailto: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... <mailto: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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