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cross currency swaps

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Grison PG Pierre (External DEXIA-US)

cross currency swaps

Hi everyone,

Does someone developed something to deal with cross currency basis swaps (CCBS) and would like to share his work?

Regards,

Pierre

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cheng li

Re: cross currency swaps

I see there is a an pull request on github to give quantlib the ability to price cross currency swap. But it seems still need work to be done and not merged into the trunk. You can contact with the author of this pull request for more information.

2014-10-15 3:18 GMT+08:00 Grison PG Pierre (External DEXIA-US) <[hidden email]>:

Hi everyone,

Does someone developed something to deal with cross currency basis swaps (CCBS) and would like to share his work?

Regards,

Pierre

------------------------------------------------------------------------------
Comprehensive Server Monitoring with Site24x7.
Monitor 10 servers for $9/Month.
Get alerted through email, SMS, voice calls or mobile push notifications.
Take corrective actions from your mobile device.
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