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

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

Hi, the MtM swaps are in progress, see
https://github.com/lballabio/QuantLib/pull/2642 .  Hopefully they'll be in
next release but they're a lot more complex than the const-notional swaps
and we might have to iron them out.  A workaround for MtM swaps is
documented at https://www.quantlibguide.com/Cross-currency%20swaps.html but
with caveats (also documented).

Hope this helps,
    Luigi


On Tue, Jul 28, 2026 at 4:10 PM Quant <qua...@gm...> wrote:

> Hi Luigi,
>
> Thank you for your feedback on my earlier email regarding bootstrapping a
> cross-currency basis-adjusted discount curve using
> ConstNotionalCrossCurrencyBasisSwapRateHelper and
> MtMCrossCurrencyBasisSwapRateHelper, particularly in relation to the
> support for asymmetric payment frequency conventions introduced in the
> QuantLib 1.43 release.
>
> I noticed that QuantLib 1.43 now includes the following instruments:
>
>    - ql.ConstNotionalCrossCurrencyBasisSwap()
>    - ql.ConstNotionalCrossCurrencySwap()
>    - ql.ConstNotionalCrossCurrencyFixedVsFloatingSwap()
>
> I wanted to check whether the mark-to-market (MtM) equivalents of these
> instruments have not yet been implemented, or whether there is an
> alternative or recommended workaround for modeling MtM cross-currency swaps
> using the constant notional implementations above.
>
> I would appreciate any guidance you can provide.
>
> Thanks and 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
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>