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

[Quant <qua...@gm...>]

Hi Peter,

So do you agree that we need to have the following additional arguments in
ql.ConstNotionalCrossCurrencyBasisSwapRateHelper();

1. quote FX rate - so that 1 is used as the notional of one leg and the
quote FX rate is used as notional on the other leg

2. payment frequency - so that the number of payment frequency is known for
each leg during the bootstrapping process.

Happy to get your opinion on this.

Thanks & regards,
Nk

On Sat, 18 May 2024 at 19:57, Peter Caspers <pca...@gm...> wrote:

> 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...>
> 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...>
>> 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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>
>