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I recenlty wokred on a similar problem and solved it through Quantlib. Assuming you are working with EUR and USD: get cross currency (xccy) swap data EUR / USD. You want to know how the xccy is collateralized and if Mark-to-Market resets apply to the USD leg. get interest rates swaps fixed vs ois / 3m / 6m in EUR and USD build USD/FedFunds and EUR/Eonia ...



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