Hi all,
For valuing a CCS you need also to "basis spread" one of the two curves and
this requires a special boostrapping routine.
regards,
André
Quoting Harun Ozkan <
[hidden email]>:
> Alternatively, probably you can use two yield curves and an exchange rate to
> engineer a CCS.
> ----- Original Message -----
> From: $B1|B<!!>-5.(B
> To:
[hidden email]
> Sent: Wednesday, April 21, 2010 4:56 PM
> Subject: [Quantlib-users] cross currency swaps
>
>
> Hi
>
> I've looked through Quantlib, and so far I could not find
> any class that defines and gives an npv of a cross currency swap(in an
> instruments folder or anywhere else).
>
> If someone want to price a cross currency swap with Quantlib,
> they have to create their own class.
> Am I correct?
>
> Is it also true for tenor basis swaps(such as 3M Libor vs 6M Libor)?
>
> Regards,
>
>
>
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