Posted by
Dragomir Nedeltchev-2 on
URL: http://quantlib.414.s1.nabble.com/pricing-Mark-To-Market-Cross-Currency-Swap-tp17275p17277.html
Hi Peter,
Thank you for the prompt feedback. This seems to meet my needs.
I deal with a 1Y5Y swap. How can I tackle this feature in a NonStandardSwap?
I see there is VanillaSwap oneYearForward5YeraSwap, but the Vanilla Swap class doesn't treat the floating notional reset feature of the MTM swap.
Thank you in advance.
Kind regards,
Dragomir
-----Original Message-----
From: Peter Caspers [mailto:
[hidden email]]
Sent: Sunday, January 24, 2016 2:08 PM
To: Dragomir Nedeltchev
Cc:
[hidden email]
Subject: Re: [Quantlib-users] pricing Mark-To-Market Cross-Currency Swap
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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