quantlib.experimental.termstructures.crosscurrencyratehelpers.ConstNotionalCrossCurrencyBasisSwapRateHelper

class ConstNotionalCrossCurrencyBasisSwapRateHelper(Quote basis, Period tenor, Natural fixing_days, Calendar calendar, BusinessDayConvention convention, bool end_of_month, IborIndex base_currency_index, IborIndex quote_currency_index, YieldTermStructure collateral_curve, bool is_fx_base_currency_collateral_currency, bool is_basis_on_fx_base_currency_leg)

Bases: RelativeDateRateHelper

Rate helper for bootstrapping over constant-notional cross-currency basis swaps

Unlike marked-to-market cross currency swaps, both notionals expressed in base and quote currency remain constant throughout the lifetime of the swap. Note on used conventions. Consider a currency pair EUR-USD. EUR is the base currency, while USD is the quote currency. The quote currency indicates the amount to be paid in that currency for one unit of base currency. Hence, for a cross currency swap we define a base currency leg and a quote currency leg. The parameters of the instrument, e.g. collateral currency, basis, resetting or constant notional legs are defined relative to what base and quote currencies are. For example, in case of EUR-USD basis swaps the collateral is paid in quote currency (USD), the basis is given on the base currency leg (EUR), etc.

For more details see: N. Moreni, A. Pallavicini (2015) FX Modelling in Collateralized Markets: foreign measures, basis curves and pricing formulae.

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
update(self)

Attributes

earliest_date
implied_quote
latest_date
maturity_date
quote