Building Cross-Currency Swap Cash Flows in QuantLib

Summary

The document explains the distinction between a curve-building helper and a tradable cross-currency basis swap instrument in QuantLib. A user asks whether the newly available rate helper can also be used to price the swap itself.

The answer says QuantLib does not yet provide a dedicated cross-currency swap instrument, but the swap’s cash flows can be assembled and valued directly. It points to a separate implementation write-up for details, without describing the cash-flow construction, valuation steps, or providing worked examples here. The discussion is therefore useful as a pointer about library capability, but it is not a complete pricing recipe and may become outdated as QuantLib develops.

Key ideas

• A rate helper for bootstrapping a cross-currency basis curve does not itself represent a tradable swap instrument.
• The answer reports that cash flows can be built and valued even without a dedicated instrument class.
• The document does not explain the construction or valuation procedure, so further implementation details are needed.

Tags

# cross currency basis swap instrument in Quantlib


# cross currency basis swap instrument in Quantlib












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?

## Answer by Luigi Ballabio (score 0)

https://quant.stackexchange.com/a/76824

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.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.