X Ccy basis swap

[Fabrice_CBA]

Bonjour,

 

I'm trying to find if quantlib can price cross currency swap (fixed / fixed, fixed / floating and more importantly basis floating / floating). I was expecting that it could, but I couldn't find anything in the code, else than vanilla swap and asset swap.

 

If I am just too blind to see it, can somebody can point me where I should look?

 

If it actually doesn't exist, is there other reasons than lack of time? Maybe valuation method choice, incompatibility with the way term structure are implemented, or anything else that might cause a problem if somebody was to start the coding?

 

Regards,

Fabrice

 

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Fabrice Lecuyer 
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[Ferdinando M. Ametrano-3]

Hi Fabrice

> I'm trying to find if quantlib can price cross currency swap (fixed / fixed,
> fixed / floating and more importantly basis floating / floating).
It is not been implemented yet

> If it actually doesn't exist, is there other reasons than lack of time?
No, it's just nobody code it.

ciao -- Nando

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[aincze]

Ferdinando Ametrano wrote

Hi Fabrice

> I'm trying to find if quantlib can price cross currency swap (fixed / fixed,
> fixed / floating and more importantly basis floating / floating).
It is not been implemented yet

> If it actually doesn't exist, is there other reasons than lack of time?
No, it's just nobody code it.

 Valuation of a cross currency basis swap requires a re-boostraping of the discount curve, in order
to include the basis swap spread termstructure (the spread that the market is quoting as liquidity risk of one currency vs other). Do you know if there is some standard methodology for
doing that re-boostrapping?

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