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On 11/30/2005 11:00:24 PM, Brian Reilly wrote:
> Does Quantlib have support for cross currency swaps?
Not yet. In order to do it, we'll have to change the instrument and
cash-flow classes so that they return Money instances instead of
doubles. It's in the todo list, but it's a rather major development.
In the meantime, you can reproduce the price with a bit of work. If the
original swap pays, say, EUR vs USD, you'll have to:
1) initialize a Swap instance with the EUR leg plus a final simple
cash-flow equal to the notional, an empty second leg, and the EUR
discount curve;
2) initialize a second Swap instance with the USD leg + notional, an
empty second leg, and the USD discount curve;
3) ask the two swaps for their NPV, convert one in the currency of the
other, and subtract the two.
> Or fx forward contracts?
They're not in the library either.
Later,
Luigi
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There are two ways to write error-free programs; only the third one
works.
-- unknown
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