Hello to everyone!
I am trying to price an amortizing Flt/Flt xccy swap in a multi-curve environment.
Looking around in QL and in the posted topics here I could not find the required helpers for xccy swaps used in bootstrapping.
The only relevant post I found is an old patch copied below for an experimental xccy helpers
So I am coming with the following questions:
1. Why still xccy are not implemented in Ql?
2. Can I use this experimental xccy helper I found in this post? Is it tested by anyone?
3. If I use the FX swap helpers and the above XCCY helper can I then bootstrap the EUR cash flows collateralized with USD cash straightforwardly by say using the PiecewiseYieldCurve bootstrapper and passing the helpers for FXSwaps & XCCY SWAPS or still I will be missing something?
4. Regarding the XCCY amortizing Flt/Flt+spread instrument I suppose I can easily create them using the IborLeg class and the the swap class
5. Please indicate if I am missing something in the above steps and if anyone has tried the above xccy helper ( I am not even sure if it is really trivial to copy the relevant xccy helper code in the helpers.hpp file and helpers.cpp files and recompile.
6. in the above direction I am also not even sure that if i made the above addition of the xccy helper I could recompile for the .xll file in order to export the class to excel.
7. Can you provide further instructions and help on the above and especially on the excel exposure of the helper?
Many thanks in advance
Looking forward for your advice
I have seen that there is a complement of QuantLib offered by Quanternion ORE and there the class XCCY helpers is provided.
Also a OIS swap pricer is provided as well
Has anyone tried to play around with QuantEXT from ORE and use the XCCY helpers and OIS swap class?