quantlib.experimental.termstructures.crosscurrencyratehelpers.MtMCrossCurrencyBasisSwapRateHelper

class MtMCrossCurrencyBasisSwapRateHelper(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, bool is_fx_base_currency_leg_resettable)

Bases: RelativeDateRateHelper

Rate helper for bootstrapping over market-to-market cross-currency basis swaps

Helper for a cross currency swap with resetting notional. This means that at each interest payment the notional on the MtM leg is being reset to reflect the changes in the FX rate - reducing the counterparty and FX risk of the structure. 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