Hi Fabrice
> I'm trying to find if quantlib can price cross currency swap (fixed / fixed,
> fixed / floating and more importantly basis floating / floating).
It is not been implemented yet
> If it actually doesn't exist, is there other reasons than lack of time?
No, it's just nobody code it.
Valuation of a cross currency basis swap requires a re-boostraping of the discount curve, in order
to include the basis swap spread termstructure (the spread that the market is quoting as liquidity risk of one currency vs other). Do you know if there is some standard methodology for
doing that re-boostrapping?
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