MtM XCCY instruments

#1

Hi,

I’m very new in Strata and was looking at CalibrationXCcy example.
I understand from “StandardXCcyIborIborSwapConventions.java” that the EUR-EURIBOR-3M-USD-LIBOR-3M convention is defined for XCCY with no FX reset (non-MtM XCCY).

Could you please let me know if there is similar conventions for MtM XCCY as I would like to adapt the “CalibrationXCcyCheckExample” to be fed by MtM XCCY instruments ?

In addition, I would like to deduce from EUR vs USD XCCY market data the EUR collateral adjusted curve instead of the USD collateral adjusted curve. Is it possible in Strata ?

Many thanks for you support

#2

Hi, Strata itself only provides the conventions listed in StandardXCcyIborIborSwapConventions. However, it is possible to write your own conventions. Details of the process are described in the documentation.
Hope that helps

#3

Hi Stephen,

Thx for the quick answer. I understand that Strate natively provides convention for Standard XCCY.

Last but not least, CalibrationXCCY example allows us to compute the EUR curve adjusted for a collateral in USD.
Is it possible to invert this relation in Strata natively ? e.g. use a ratio of BPVs or a ratio of discount factors (based on FX forward relation) to compute the USD curve adjusted for a collateral EUR.

Many thanks ofr you work,
Best
Paul

#4

The curve instruments are defined in CurveDefinition within RatesCurveGroupDefinition. In CalibrationXCcyCheckExample, the curve instruments are specified in the config file, calibrations-xccy.csv, where OIS is used for the USD discounting curve and FXS, XCS are used for the EUR discounting curve. The EUR collateral curves can be realised by modifying these, e.g., OIS for the EUR curve and XCS for the USD curve. Please see the documentation for details of the curve calibration loader.