3
$\begingroup$

In QuantLib, the FxSwapRateHelper allows to create bootstrap a curve FX Swap quotes. For instance, the link below includes example of bootstrapping PLN yield curve using EURPLN spot rate and forward points, with discounting using EONIA curve, from line 68 onwards:

https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/test/ratehelpers.py#L68

I am exploring to extend the curve beyond one year, where there is no FX swap quotes, and would have to be done using cross currency swap (CCS) or non-deliverable swap (NDS) depending on the particular currency.

In case of CCS, I have read from another answer three years before that it was not natively implemented in QuantLib back then. Does anyone know if anything has changed?

For the NDS case, I am not able to find any discussion on it, but a helper for such swaps does not seem to exist in the library. Could anyone provide an example for that, possibly with twists on other rate helpers, e.g. the swap/fixedratebondhelper?

Thanks!

$\endgroup$
  • $\begingroup$ Did you have any luck with this? $\endgroup$ – Jose Pedro Melo Apr 24 at 19:44

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.