Does QuantLib support valuation of Cross currency swaps ? Eg. SOFR / SONIA cross currency swap.

  • $\begingroup$ With resetting notional? $\endgroup$ Feb 1 at 18:55
  • $\begingroup$ Yes Dimitri , with resetting Notional. $\endgroup$ Feb 2 at 3:29
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    $\begingroup$ Have you tried rkapl123.github.io/QLAnnotatedSource/d0/df1/… ? $\endgroup$ Feb 2 at 4:09
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    $\begingroup$ Unfortunately not possible with quantlib functions directly. You can do some workaround... $\endgroup$
    – EAK
    Mar 1 at 15:44


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