Add Fixed to Float Xccy convention in curve calibration (XCcyIborIborSwap)


#1

Hi there, I want to calibrate a curve for pricing IRS and I read through your examples I found “XCS” which supports Float-to-Float cashflows only. How can I use Fixed-to-Float “XCS” as a node for calibration? How to do this? Can I add new configuration or have to extend by coding by adding by something like (XCcyFixedIborSwap)? If so what is involved?


#2

As can be seen in RatesCalibrationCsvLoader the calibration file format is not extensible. Strata does not include Fixed-Float Cross-Currency swaps as we understand these contracts to not be particularly standardised.

There is no need to alter the Swap class or the analytic pricing modules - they all handle cross-currency swaps fine. What you do need is to add new instances of curve node, convention and template, probably based on XCcyIborIborSwapCurveNode, XCcyIborIborSwapConvention and XCcyIborIborSwapTemplate. If you were to create these classes, then you could create your own input to the calibration process using RatesCalibrationCsvLoader as a guide.

Hope that helps
Stephen