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

[Ioannis R. <qua...@de...>]

The baseCurrencyIndex and quoteCurrencyIndex imply the frequency per 
each floating leg.

On 5/18/2024 8:53 PM, Quant wrote:
> 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
>>>             >> _______________________________________________
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>>>             >> Qua...@li...
>>>             >>
>>>             https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>             >
>>>             > _______________________________________________
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>>>             > Qua...@li...
>>>             >
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>>>
>>
>>
>>
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