Hi Robert,
I have a working multi-currency OIS and CSA discounting sheet working in QuantlibXL that price and produce delta ladders. I have used it to price non-resettable cross currency swaps at this point. I have a couple of projects on the go my clients. One client needs examples on how to price resettable cross currency swaps, and another client needs to price cross currency asset swaps. Both of these projects relate directly to your requirements.
If you are interested in discussing further – please email me privately.
Warm Regards
Ben Watson, CEO
Maroon Analytics Australia
[hidden email]
Tel: +61 410 474 984
www.maroonanalytics.com
your edge on complexity
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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