Patches item #3568787, was opened at 2012-09-18 00:04
Message generated for change (Comment added) made by mbouassab
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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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Comment By: Mehdi Bouassab (mbouassab)
Date: 2013-03-17 15:01
Message:
I have tried first to use the XCCySwapRateHelper class for calculating a
EUR/USD basis spread through the impliedQuote() method. After setting
appropriate yield termstructures for each currency, calling
impliedQuote() cause the program to crash with an empty handle exception in
the BlackIborCouponPricer::initialize method. To solve that, one need to
ensure that the yield term structure is not empty in flatLegIborIndex_
and sprdLegIborIndex_ in order to calculate the spread , contrary to other
RateHelper (Swap,Deposit...). I think that this case should be handled in t
XCCySwapRateHelper::impliedQuote() .
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Comment By: Luigi Ballabio (lballabio)
Date: 2012-10-24 07:12
Message:
May you contribute a test case for these?
Thanks,
Luigi
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