Re: Does QuantLib have FXSwap and cross currency swap?

Posted by CK TUNG on Aug 21, 2016; 1:34pm
URL: http://quantlib.414.s1.nabble.com/Does-QuantLib-have-FXSwap-and-cross-currency-swap-tp17650p17661.html


No, I believed there is no such cross currency instruments defined in QuantLib.  

If you want to build a CCS pricer, I think you have to bootstrap a discounting curve such as for EUR cashflows under USD collateral

> Ted Wong <[hidden email]> 於 17 Aug 2016 7:05 PM 寫道：
>
> Hi,
>
> Does QuantLib have FXSwap and cross currency swap instrument built in? I can see VanillaSwap.cpp, but I don't see a class with something similar to FXSwap and cross currency swap.
>
>
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