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X Ccy basis swap

by Fabrice_CBA :: Rate this Message:

Bonjour,

I'm trying to find if quantlib can price cross currency swap (fixed / fixed, fixed / floating and more importantly basis floating / floating). I was expecting that it could, but I couldn't find anything in the code, else than vanilla swap and asset swap.

If I am just too blind to see it, can somebody can point me where I should look?

If it actually doesn't exist, is there other reasons than lack of time? Maybe valuation method choice, incompatibility with the way term structure are implemented, or anything else that might cause a problem if somebody was to start the coding?

Regards,

Fabrice

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Fabrice Lecuyer
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