pricing Mark-To-Market Cross-Currency Swap
Posted by
Dragomir Nedeltchev-2 on
URL: http://quantlib.414.s1.nabble.com/pricing-Mark-To-Market-Cross-Currency-Swap-tp17275.html
Hi All,
I am pricing a Mark-To-Market JPYUSD Swap.
Advise please which swap class of QuantLib serves this purpose.
Can I present the swap as a JPY floating bond and a USD amortizing floating rate bond (notionals vector to be calculated by the FX rate at the reset dates). Thanks
Dragomir Nedeltchev, Custom House
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