Re: pricing Mark-To-Market Cross-Currency Swap

Posted by Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/pricing-Mark-To-Market-Cross-Currency-Swap-tp17275p17276.html

Hi Dragomir,

there is no ready-to-use class in QuantLib for this I think.

But as you say, you can repesent the mtm swap as two single legs with
a customized notional schedule for one of them. Beneath the bond
classes you can also use the NonStandardSwap I guess (setting the
fixed leg's nominals to zero and only use the floating leg for each
mtm swap leg) and do the valuation of the single legs with two
DiscountingSwapEngine's attaching appropriate discount curves for USD
and JPY.

Kind Regards
Peter

On 22 January 2016 at 08:47, Dragomir Nedeltchev
<[hidden email]> wrote:

> 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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>
>
>
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