Hi Robert,
I've been working in Python using the SWIG wrapper for Quantlib. I'm a bit new to this but it seems some rate helpers for basis swaps and cross currency swaps are not included. I'm not sophisticated enough with these tools to build them myself.
What I've done is basically set up all the basis/xccy instruments manually and then use a numerical solver (in scipy for example) to back out the correct curves. I would imagine you could do something similar to get the NPVs to where you want them to be. There's probably a better way to do it.
Best,
Ali
On Wednesday, May 25, 2016 9:09:29 PM EDT Robert Taylor wrote:
Hi guys, we're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a different funding basis say USD 6m$L.
We're in the process of sourcing market swap data including discount factors for EONIA, FedFund and LIBOR for different tenors.
Does anyone have any experience with this? Would be super appreciated, I think it could even turn into a paid project for the right person. Basically right now I'm totally lost!
Sorry for the spam!
Rob
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Robert Taylor
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