XCCY basis adjusted discount curves

[Anonymous]

Wondering how to specify that the XCCY basis swaps used in the stripping of the XCCY basis adjusted curves (i.e. “EUR-in-USD”) are resetting swaps? Or perhaps this is a default setting, but I am struggling to reconcile with our other system and wondering if a resetting/not resetting discrepancy is the culprit.
Thanks!
– Colin

[Anonymous]

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.

[Anonymous]

Thank you, I was also on the previous version of ORE, I see in the code base that the crossccybasismtmresetswap instrument has been added in the new release. So I will upgrade and then specify as you indicate.
Thanks!
– Colin

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