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

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

Thanks loannis, what about the payment frequency is it not required in ql.
ConstNotionalCrossCurrencyBasisSwapRateHelper() for bootstrapping?

Thanks,
Nk

On Sat, 18 May 2024 at 20:25, Ioannis Rigopoulos <qua...@de...>
wrote:

> 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 lis...@li...://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=emailclient>
> Virus-free.www.avast.com
> <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=emailclient>
> <#m_4381154520716188394_DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>
>