Re: Does QuantLib have FXSwap and cross currency swap?
Posted by
Luigi Ballabio on
Sep 14, 2016; 8:14am
URL: http://quantlib.414.s1.nabble.com/Does-QuantLib-have-FXSwap-and-cross-currency-swap-tp17650p17721.html
Hi Ted,
apologies for the delay -- I'm behind on the queue of mailing-list posts we got during the vacations.
No, there's no instrument ready for use. The calculation for FX swaps is done explicitly in FxSwapRateHelper::impliedQuote, but it's not packaged as an instrument yet. Would you be interested in working on it?
Thanks,
Luigi
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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