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Published 20 hours ago • verified publisher icon lballabio

Improving ql.ConstNotionalCrossCurrencyBasisSwapRateHelper and ql.MtMCrossCurrencyBasisSwapRateHelper

Open QuantAnalyst89 opened this issue 9 months ago • 1 comments

Improving the ql.ConstNotionalCrossCurrencyBasisSwapRateHelper and ql.MtMCrossCurrencyBasisSwapRateHelper by adding a constructor that takes an overnight index and payment frequency as parameters.

The current helpers have parameters in the link below:

https://rkapl123.github.io/QLAnnotatedSource/df/d10/crosscurrencyratehelpers_8cpp_source.html

QuantAnalyst89 avatar May 20 '24 13:05 QuantAnalyst89