Patches item #3568787, was opened at 2012-09-18 00:04
Message generated for change (Tracker Item Submitted) made by miemiec
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Cross currency rate helper
Initial Comment:
This file contributes new rate helpers to the QuantLib library in order to support the building of discount curves from cross currency swaps.
Implemented are constant notional cross currency swaps. I've checked the code for the pair EUR/USD in two directions: Bootstrapping of the
yield curve on the spread leg and on the flat leg. Both are checked against results from productive environments and seemed to work.
There are two obvious things left to do:
- Implementation of the forward start feature
- based on the previous step, implementation of mtm cross currency swaps.
Both extensions should be minor exercises.
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