Re: [Quantlib-users] ConstNotionalCrossCurrencyBasisSwapRateHelper with Different Payment Frequencies on Each Leg

[Luigi B. <lui...@gm...>]

Hi, this was added recently — see
https://github.com/lballabio/QuantLib/pull/2528.  It will be available in
release 1.43 out next month.

Regards,
    Luigi


On Wed, Jun 17, 2026 at 5:30 PM Quant <qua...@gm...> wrote:

> Dear QuantLib users,
>
> I am currently bootstrapping a cross-currency basis-adjusted discount
> curve using ConstNotionalCrossCurrencyBasisSwapRateHelper and have a
> question regarding payment frequency conventions.
>
> The helper accepts a single paymentFrequency parameter, which appears to
> be applied to both legs of the underlying cross-currency basis swap:
>
> ccbs_helpers = [
>     ql.ConstNotionalCrossCurrencyBasisSwapRateHelper(
>         ql.QuoteHandle(ql.SimpleQuote(basis / 10000)),
>         ql.Period(*tenor),
>         2,
>         calendar,
>         ql.Following,
>         False,
>         sonia,
>         sofr,
>         sonia_ts,
>         True,
>         False,
>         paymentFrequency=ql.Quarterly
>     )
>     for basis, tenor in ...
> ]
>
> My question is: how should one handle market instruments where the two
> floating legs have different payment frequencies? For example when I
> inquired with my market data provider, they indicated that for their quotes:
>
>    -
>
>    SONIA leg pays annually
>    -
>
>    SOFR leg pays quarterly
>
> Is there a way to specify separate payment frequencies for each leg when
> using ConstNotionalCrossCurrencyBasisSwapRateHelper or
> MtMCrossCurrencyBasisSwapRateHelper, or is the helper designed under the
> assumption that both legs share the same payment schedule?
>
> If different frequencies are required, is the recommended approach to:
>
>    1.
>
>    Build a custom cross-currency swap instrument with separate schedules
>    for each leg and create a custom RateHelper; or
>    2.
>
>    Approximate the market convention using a common frequency for both
>    legs?
>
> I would appreciate any guidance on how QuantLib intends such instruments
> to be handled and whether there are examples of bootstrapping a CCS basis
> curve when the two legs have different payment frequencies.
>
> Thank you for your help.
>
> Kind regards,
>
> Nk
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