lballabio
Add CrossCurrencySwapRateHelper
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.
There is work being currently done on const-notional CCX, see https://github.com/lballabio/QuantLib/pull/2248.
Question: are you sure we need a fixed/float helper? As far as I know those CCX are not quoted and might not be the best choice for building a curve.
Hi @lballabio, I took a look at #2248 and it seems to cover what I was planning to build here.
Is there another open issue you’d recommend I look at? I’d really love to contribute to QuantLib wherever help is needed!
Hi @lballabio , CCX (deliverable and Non-deliverable) fixed vs SOFR are quoted in some of the Asian markets so I reckon we should have it.
Thanks @lballabio and @LZ1153! I’ll start exploring the implementation for this then.
Hi @lballabio @LZ1153 , I’ve submitted a PR for the CrossCurrencySwapRateHelper.
PR link: [] (https://github.com/lballabio/QuantLib/pull/2367)
Hi @uzi101 @lballabio , Please can I confirm the this helper will be exposed to Python binding? Thanks!
Nothing is certain in life except death and taxes :) But yes, I'll try to export it before next release.
Hi Luigi @lballabio, I was wondering if you already have the next release date in sight? The reason I am asking is because I was working on some additional features, e.g. non-deliverable cross currency swap rate helpers and the question here https://github.com/lballabio/QuantLib/issues/2399. Depending on the release plan I could either hurry up or wait for the next one, both of which would be fine. Many thanks!
