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I have noticed that there is a cross currency basis swap rate helper added to the Quantlib new release. However, I could not find the instrument cross currency basis swap. I assume the helper is added to bootstrap a cross currency basis curve, but what about pricing the instrument itself? is there a way to do this?

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  • $\begingroup$ Did you ever find an answer to this? $\endgroup$
    – AB123
    Mar 2, 2023 at 12:51

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At this time there's not a cross-currency instrument as such (it might take a while) but it's possible to build its cashflows and calculate their value. There's a write-up available at https://www.implementingquantlib.com/2023/09/cross-currency-swaps.html.

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