Add CrossCurrencySwapRateHelper

[LZ1153]

There is currently MtMCrossCurrencyBasisSwapRateHelper available in Quantlib Python. Please could expert here help to create CrossCurrencySwapRateHelper? This helper will be fixed/float instead of float/float. Much appreciated.

[uzi101]

Hi! I'd like to take this issue.

[LZ1153]

Much appreciated @uzi101 .

[lballabio]

There is work being currently done on const-notional CCX, see #2248.

Question: are you sure we need a fixed/float helper? As far as I know those CCX are not quoted and might not be the best choice for building a curve.

[uzi101]

Hi @lballabio, I took a look at #2248 and it seems to cover what I was planning to build here.
Is there another open issue you’d recommend I look at? I’d really love to contribute to QuantLib wherever help is needed!

[LZ1153]

Hi @lballabio , CCX (deliverable and Non-deliverable) fixed vs SOFR are quoted in some of the Asian markets so I reckon we should have it.

[LZ1153]

Hi @lballabio Is it okay to go ahead with this ticket please?

[lballabio]

It's ok.

[uzi101]

Thanks @lballabio and @LZ1153! I’ll start exploring the implementation for this then.

[LZ1153]

Thank you @lballabio @uzi101

[uzi101]

Hi @lballabio @LZ1153 , I’ve submitted a PR for the CrossCurrencySwapRateHelper.

PR link: [] (#2367)

[LZ1153]

Thank you @uzi101 @lballabio !

[LZ1153]

Hi @uzi101 @lballabio , Please can I confirm the this helper will be exposed to Python binding? Thanks!

[lballabio]

Nothing is certain in life except death and taxes :)
But yes, I'll try to export it before next release.