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

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

Hi Luigi,

Noted and thanks. This helps a lot.

Regards,
Nk


On Tue, 28 Jul 2026 at 17:11, Luigi Ballabio <lui...@gm...>
wrote:

> 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
>>>>
>>>