Loading...
Home / Reply To: XCCY basis adjusted discount curves

Home Forums Help XCCY basis adjusted discount curves Reply To: XCCY basis adjusted discount curves

#6743
Anonymous
Inactive

It is defined in the Cross Currency Conventions. I don’t see an example of XML on GitHub, but you can see the code to parse the XML here
https://github.com/OpenSourceRisk/Engine/blob/93b8ed8778cf9799707151d552607e44d87bf130/OREData/ored/configuration/conventions.cpp#L677

So set the optional flag to True (The default is False) in your You can also specify which leg is resetting here (default is the flat leg)

Here is an example


  <CrossCurrencyBasis>
    <Id>EUR-USD-XCCY-BASIS-CONVENTIONS</Id>
    <SettlementDays>2</SettlementDays>
    <SettlementCalendar>TARGET,US,UK</SettlementCalendar>
    <RollConvention>MF</RollConvention>
    <FlatIndex>USD-LIBOR-3M</FlatIndex>
    <SpreadIndex>EUR-EURIBOR-3M</SpreadIndex>
    <IsResettable>Y</IsResettable>
    <FlatIndexIsResettable>Y</FlatIndexIsResettable>
  </CrossCurrencyBasis>

Regards,
Niall.