Does QuantLib have FXSwap and cross currency swap?

[Student T]

Hi,

Does QuantLib have FXSwap and cross currency swap instrument built in? I can see VanillaSwap.cpp, but I don't see a class with something similar to FXSwap and cross currency swap.

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[CK TUNG]

No, I believed there is no such cross currency instruments defined in QuantLib.  

If you want to build a CCS pricer, I think you have to bootstrap a discounting curve such as for EUR cashflows under USD collateral

> Ted Wong <[hidden email]> 於 17 Aug 2016 7:05 PM 寫道：
>
> Hi,
>
> Does QuantLib have FXSwap and cross currency swap instrument built in? I can see VanillaSwap.cpp, but I don't see a class with something similar to FXSwap and cross currency swap.
>
>
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[Luigi Ballabio]

Hi Ted,

    apologies for the delay -- I'm behind on the queue of mailing-list posts we got during the vacations.

No, there's no instrument ready for use. The calculation for FX swaps is done explicitly in FxSwapRateHelper::impliedQuote, but it's not packaged as an instrument yet.  Would you be interested in working on it?

Thanks,

    Luigi

On Wed, Aug 17, 2016 at 1:07 PM Ted Wong <[hidden email]> wrote:

Hi,

Does QuantLib have FXSwap and cross currency swap instrument built in? I can see VanillaSwap.cpp, but I don't see a class with something similar to FXSwap and cross currency swap.

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[Student T]

Thanks Luigi,

I'm interested in working for the the swaps. My idea is to create new classes: FXSwap and CrossCurrencySwap. They will define new standard constructor just like everywhere else in QuantLib. I'll also implement a new pricing engine for them. What do you think about the changes? If you are happy, I'll send you a pull request once I'm ready.  

On Wed, Sep 14, 2016 at 7:33 PM, Luigi Ballabio <[hidden email]> wrote:

Hi Ted,

    apologies for the delay -- I'm behind on the queue of mailing-list posts we got during the vacations.

No, there's no instrument ready for use. The calculation for FX swaps is done explicitly in FxSwapRateHelper::impliedQuote, but it's not packaged as an instrument yet.  Would you be interested in working on it?

Thanks,

    Luigi

On Wed, Aug 17, 2016 at 1:07 PM Ted Wong <[hidden email]> wrote:

Hi,

Does QuantLib have FXSwap and cross currency swap instrument built in? I can see VanillaSwap.cpp, but I don't see a class with something similar to FXSwap and cross currency swap.

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[Luigi Ballabio]

Hello Ted,

    sorry, I just realized I didn't answer.  Yes, I'm ok with the changes.  Thanks for picking this up.

Luigi

On Thu, Sep 15, 2016 at 3:10 AM Ted Wong <[hidden email]> wrote:

Thanks Luigi,

I'm interested in working for the the swaps. My idea is to create new classes: FXSwap and CrossCurrencySwap. They will define new standard constructor just like everywhere else in QuantLib. I'll also implement a new pricing engine for them. What do you think about the changes? If you are happy, I'll send you a pull request once I'm ready.  

On Wed, Sep 14, 2016 at 7:33 PM, Luigi Ballabio <[hidden email]> wrote:

Hi Ted,

    apologies for the delay -- I'm behind on the queue of mailing-list posts we got during the vacations.

No, there's no instrument ready for use. The calculation for FX swaps is done explicitly in FxSwapRateHelper::impliedQuote, but it's not packaged as an instrument yet.  Would you be interested in working on it?

Thanks,

    Luigi

On Wed, Aug 17, 2016 at 1:07 PM Ted Wong <[hidden email]> wrote:

Hi,

Does QuantLib have FXSwap and cross currency swap instrument built in? I can see VanillaSwap.cpp, but I don't see a class with something similar to FXSwap and cross currency swap.

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