Re: Does QuantLib have FXSwap and cross currency swap?
Posted by
Student T on
Sep 14, 2016; 11:51pm
URL: http://quantlib.414.s1.nabble.com/Does-QuantLib-have-FXSwap-and-cross-currency-swap-tp17650p17728.html
Thanks Luigi,
I'm interested in working for the the swaps. My idea is to create new classes: FXSwap and CrossCurrencySwap. They will define new standard constructor just like everywhere else in QuantLib. I'll also implement a new pricing engine for them. What do you think about the changes? If you are happy, I'll send you a pull request once I'm ready.
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