Instrument for cross currency basis swap

[LZ1153]

According to blog post, there is possible future developments to support instruments for cross currency basis swap with both mark-to-market and constant-notional case. Could experts here start on this development please?

https://www.implementingquantlib.com/2023/09/cross-currency-swaps.html

Much appreciated.

[paolodelia99]

Potentially, we can take inspiration from Open Source Risk Engine, since in the QuantExt module they have already implemented XCCY Swaps classes.
I'll take a look at it.

[LZ1153]

That's brilliant. Much appreciated @paolodelia99

[LZ1153]

@paolodelia99 thanks again for looking into this. In your #2248 , would you also make a CrossCcyFixFloatSwapHelper please? Or I need to open a new issue to request for that please?

CrossCcyFixFloatSwap: cross currency swap with a fixed leg and a floating leg

[paolodelia99]

Hi @LZ1153, please open a new issue for introducting this new helper please

[LZ1153]

Will do. Thank you @paolodelia99 .