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Instrument for cross currency basis swap

Open LZ1153 opened this issue 8 months ago • 5 comments

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 please?

https://www.implementingquantlib.com/2023/09/cross-currency-swaps.html

Much appreciated.

LZ1153 avatar Apr 16 '25 07:04 LZ1153

Potentially, we can take inspiration from Open Source Risk Engine, since in the QuantExt module they have already implemented XCCY Swaps classes. I'll take a look at it.

paolodelia99 avatar May 09 '25 13:05 paolodelia99

That's brilliant. Much appreciated @paolodelia99

LZ1153 avatar May 14 '25 08:05 LZ1153

@paolodelia99 thanks again for looking into this. In your #2248 , would you also make a CrossCcyFixFloatSwapHelper please? Or I need to open a new issue to request for that please?

CrossCcyFixFloatSwap: cross currency swap with a fixed leg and a floating leg

LZ1153 avatar Aug 03 '25 02:08 LZ1153

Hi @LZ1153, please open a new issue for introducting this new helper please

paolodelia99 avatar Aug 04 '25 08:08 paolodelia99

Will do. Thank you @paolodelia99 .

LZ1153 avatar Aug 05 '25 07:08 LZ1153