Posted by
Ballabio Gerardo-4 on
URL: http://quantlib.414.s1.nabble.com/Cross-currency-basis-swap-pricing-tp13944p14005.html
I've built a Fed Funds curve using OISRateHelper (in QuantLibXL) and it seems to work fine (it is almost identical to the curve built by Murex).
Gerardo
-----Messaggio originale-----
Da: Luigi Ballabio [mailto:
[hidden email]]
Inviato: mercoledì 6 febbraio 2013 10.15
A: Kirill Shemyakin
Cc: quantlib-users
Oggetto: Re: [Quantlib-users] Cross-currency basis swap pricing
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
>
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