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Fx Rates Interpolation

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Anne Noir

Fx Rates Interpolation

I would like to interpolate fx future/forward points using 3M futures, for example Euro FX Futures for EUR/USD. Is this possible in Quantlib and which ratehelpers should I use?

Thanks

Anne

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Luigi Ballabio

Re: Fx Rates Interpolation

Hello Anne,

I don't think this is possible yet. There's been some work on bootstrapping a foreign curve based on fx swaps (see https://github.com/lballabio/quantlib/pull/249) but that's all I'm aware of.

Luigi

On Thu, Jul 9, 2015 at 1:50 PM Anne Noir <[hidden email]> wrote:

I would like to interpolate fx future/forward points using 3M futures, for example Euro FX Futures for EUR/USD. Is this possible in Quantlib and which ratehelpers should I use?

Thanks

Anne

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