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  • #6538
    rmt52
    Participant

    Reposting (not sure where my original post went)

    Hi Peter,

    I have a question regarding the Xccy swap functionality in Quantext. I’ve managed to add the crossccybasisswaphelper, crossccyswapengine, discountingcurrencyswapengine, currencyswap, crosscccyswap, and crossccybasisswap into my quantlib library and exposed them in SWIG for python. I am able to run my code and price a swap, however it’s returning an npv that is off by around 8% of the swap’s notional compared to the value i get on Bloomberg SWPM. I think i might be doing something wrong regarding the inputs i’m passing through to Quantext vs what it’s expecting/needs and was hoping to maybe get some clarification as to what the Quantext argument conventions are?

    I set up the pricing engine using CrossCcySwapEngine, where i’ve defined:
    – a paycurrency (in this case EURCurrency()),
    – the corresponding YieldTermStructureHandle (in this case the 6M Euribor curve)
    – a receivecurrency (in this case USDCurrency())
    – the corresponding YieldTermStructureHandle (in this case 3M Euribor)
    – fxSpotQuote (the current EURUSD fx rate, so = QuoteHandle(SimpleQuote(1.1710))
    – includeSettlementDateFlows = False
    – startDate = Date(30, 7, 2018)
    – endDate = Date(30, 7, 2021)

    Then, i set up the xccybswap with the following:
    – notional in EUR for the pay leg, say 100,000,000
    – paycurrency (EURCurrency())
    – schedule of cashflows for this floating leg
    – Euribor6M index
    – spread on this leg (rate in bps/10000)
    – notional in USD for receive leg 117,100,000
    – receiveCurrency = USDCurrency()
    – schedule of cashflows for this leg
    – Libor3M Index
    – spread on this leg (in this case 0)

    So my question is, am i passing the right curves if i have a xccyswap where it pays 6M Euribor +/- a spread, and receives 3M USD Libor? Should i be using CrossCcyBasisSwapHelper?

    Thanks,
    Rami

    #6539
    Anonymous
    Inactive

    Hi Rami,

    Probably depends on the discounting curves you are using, are you doing in currency OIS? or assuming EUR or USD collateral?

    Regards,
    Niall.

    #6540
    rmt52
    Participant

    Hi Niall,

    For each leg i’m using the respective OIS discounting. Not assuming any collateral.

    Thanks,
    Rami

    #6541
    Anonymous
    Inactive

    Hi Rami,

    Are you using the same discount curves in both ORE and Bloomberg? The curve specs and todays market configuration will define that in ORE. In Bloomberg there are some settings I believe.

    Regards,
    Niall.

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