LZ40

Instrument for cross currency basis swap

5

According to blog post, there is possible future developments to support instruments for cross currency basis swap with both mark-to-market and constant-notional case. Could experts here start on this development...

Building OIS curve from SOFR (or Fed Funds) Futures

8

I found there was a thread in url below discussing this requirement back in 2020. I'm wondering if we can have a way to build OIS curve using SOFR or...

Add CrossCurrencySwapRateHelper

10

There is currently **MtMCrossCurrencyBasisSwapRateHelper** available in Quantlib Python. Please could expert here help to create **CrossCurrencySwapRateHelper**? This helper will be fixed/float instead of float/float. Much appreciated.

Add ql.ZabrSwaptionVolatilityCube()

2

We have ql.SabrSwaptionVolatilityCube() please can expert make one Zabr version? I can see we do have Zabr interpolation but it will be great to have ql.ZabrSwaptionVolatilityCube()

Long execution time when pricing Swaption out from ql.SabrSwaptionVolatilityCube()

7

Pricing Swaptions out from ql.SabrSwaptionVolatilityCube() works fine when using small set of expiries and underlyings. However when I use 22 expiries and 14 underlyings it took me 200 seconds. Basically...