Re: Does QuantLib have FXSwap and cross currency swap?
Posted by
Luigi Ballabio on
Sep 26, 2016; 7:40pm
URL: http://quantlib.414.s1.nabble.com/Does-QuantLib-have-FXSwap-and-cross-currency-swap-tp17650p17760.html
Hello Ted,
sorry, I just realized I didn't answer. Yes, I'm ok with the changes. Thanks for picking this up.
Luigi
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.
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users