Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Cross-currency-basis-swap-pricing-tp13944p14001.html
Hi,
EONIA curve building is supported by the OISRateHelper class. I'm
not sure that this can be applied to Fed Funds. However, the
showstopper might be the the cross-currency feature. I'm not sure that
you can manage the fact that the two legs are in different currencies
(if the legs are not readjusting, you might do it by converting the
notional with the current FX rate, I guess; but otherwise, you're out
of luck).
Luigi
On Thu, Jan 24, 2013 at 9:38 PM, Kirill Shemyakin <
[hidden email]> wrote:
> Hi all,
>
> Does anybody know whether it is possible to price a plain vanilla
> floating-to-floating cross-currency swap (e.g. EONIA vs Fed Funds)
> using quantlib. Does quantlib also possess functionality to build
> curves needed (one for EUR based on EONIA, one for USD based on Fed
> Funds Rate and cross-currency)?
>
> Many thanks in advance!
>
> Best regards,
> Kirill
>
> ------------------------------------------------------------------------------
> Master Visual Studio, SharePoint, SQL, ASP.NET, C# 2012, HTML5, CSS,
> MVC, Windows 8 Apps, JavaScript and much more. Keep your skills current
> with LearnDevNow - 3,200 step-by-step video tutorials by Microsoft
> MVPs and experts. ON SALE this month only -- learn more at:
>
http://p.sf.net/sfu/learnnow-d2d> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
Free Next-Gen Firewall Hardware Offer
Buy your Sophos next-gen firewall before the end March 2013
and get the hardware for free! Learn more.
http://p.sf.net/sfu/sophos-d2d-feb_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users