Quantlib cross currency swap pricer
Posted by
Robert Taylor on
May 25, 2016; 7:28pm
URL: http://quantlib.414.s1.nabble.com/Quantlib-cross-currency-swap-pricer-tp17474.html
Hi guys, we're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a different funding basis say USD 6m$L.
We're in the process of sourcing market swap data including discount factors for EONIA, FedFund and LIBOR for different tenors.
Does anyone have any experience with this? Would be super appreciated, I think it could even turn into a paid project for the right person. Basically right now I'm totally lost!
Sorry for the spam!
Rob
--
Robert Taylor
Origin The Primary Marketplace CTO & Co-founder
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