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

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

Explanation at 
https://www.deriscope.com/products/Key_Yield_Curve_Fxb__Spot.html

It 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

On 5/18/2024 6:41 PM, Quant 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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