Does QuantLib support valuation of Cross currency swaps ? Eg. SOFR / SONIA cross currency swap.
$\begingroup$
$\endgroup$
4
-
$\begingroup$ With resetting notional? $\endgroup$– Dimitri VulisFeb 1 at 18:55
-
$\begingroup$ Yes Dimitri , with resetting Notional. $\endgroup$– Rohit GajareFeb 2 at 3:29
-
1$\begingroup$ Have you tried rkapl123.github.io/QLAnnotatedSource/d0/df1/… ? $\endgroup$– Dimitri VulisFeb 2 at 4:09
-
1$\begingroup$ Unfortunately not possible with quantlib functions directly. You can do some workaround... $\endgroup$– EAKMar 1 at 15:44
Add a comment
|