cross currency swaps

[奥村 将貴]

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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[Ferdinando M. Ametrano-3]

<[hidden email]>:
> If someone want to price a cross currency swap with Quantlib,
> they have to create their own class.
> Am I correct?
yes

> Is it also true for tenor basis swaps(such as 3M Libor vs 6M Libor)?
no, the Swap class can handle whatever number/type of legs, so 2
floating legs are not a problem

ciao -- Nando

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[奥村将貴]

Thanks for your reply.

 

I guess I will try coding up a

boostrapping routine that involes two

curves.

Thanks,

 

Okumura

 

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