Loading...
Home / XCCY basis adjusted discount curves

Home Forums Help XCCY basis adjusted discount curves

Viewing 3 posts - 1 through 3 (of 3 total)
  • Author
    Posts
  • #6742
    coling
    Participant

    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

    #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.

    #6744
    coling
    Participant

    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

Viewing 3 posts - 1 through 3 (of 3 total)
  • You must be logged in to reply to this topic.