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lballabio / QuantLib

The QuantLib C++ library
http://quantlib.org
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Improving ql.ConstNotionalCrossCurrencyBasisSwapRateHelper and ql.MtMCrossCurrencyBasisSwapRateHelper #1973

Open QuantAnalyst89 opened 1 month ago

QuantAnalyst89 commented 1 month ago

Improving the ql.ConstNotionalCrossCurrencyBasisSwapRateHelper and ql.MtMCrossCurrencyBasisSwapRateHelper by adding a constructor that takes an overnight index and payment frequency as parameters.

The current helpers have parameters in the link below:

https://rkapl123.github.io/QLAnnotatedSource/df/d10/crosscurrencyratehelpers_8cpp_source.html

boring-cyborg[bot] commented 1 month ago

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