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Re: [Quantlib-users] Arguments for ql.ConstNotionalCrossCurrencyBasisSwapRateHelper()
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From: Ioannis R. <qua...@de...> - 2024-05-18 18:25:35
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Hi Peter and NK For some reason, the email I sent quite some time ago did not go through. Perhaps because of the link insertion. I repeat it below: The spot rate is not needed. Explanation at https://www.deriscope.com/products/Key_Yield_Curve_Fxb__Spot.html that describes the spot rate input in the construction of a curve out of xccy basis spreads. In effect, any assumed spot rate cancels out due to for any given two currencies SRC and TGT, the corresponding legs in a currency swap have differing notionals Nˢʳᶜ and Nᵗᵍᵗ that satisfy: Nˢʳᶜ/Nᵗᵍᵗ = s := spot fx rate TGT/SRC Ioannis On 5/18/2024 8:12 PM, Quant wrote: > 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 >> >> _______________________________________________ >> >> QuantLib-users mailing list >> >> Qua...@li... >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > >> > _______________________________________________ >> > QuantLib-users mailing list >> > Qua...@li... >> > https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users -- This email has been checked for viruses by Avast antivirus software. www.avast.com |
