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

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

Hi Luigi,

Noted and thanks.

Regards,
Nk

On Thu, Jun 18, 2026 at 9:09 AM Luigi Ballabio <lui...@gm...>
wrote:

> 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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>