From af4d04446a3313501132ad696639b57bb71a7fc3 Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Fri, 13 Jun 2025 16:15:16 +0200
Subject: [PATCH 01/18] Added base CrossCcySwap, CrossCcySwapEngine and related
 tests

---
 QuantLib.vcxproj                              |   4 +
 QuantLib.vcxproj.filters                      |  12 +
 ql/CMakeLists.txt                             |   4 +
 ql/instruments/Makefile.am                    |   2 +
 ql/instruments/crossccyswap.cpp               | 107 +++
 ql/instruments/crossccyswap.hpp               | 147 ++++
 ql/pricingengines/swap/Makefile.am            |   2 +
 ql/pricingengines/swap/crossccyswapengine.cpp | 165 +++++
 ql/pricingengines/swap/crossccyswapengine.hpp | 107 +++
 test-suite/CMakeLists.txt                     |   1 +
 test-suite/Makefile.am                        |   1 +
 test-suite/crossccyswap.cpp                   | 698 ++++++++++++++++++
 test-suite/testsuite.vcxproj                  |   1 +
 test-suite/testsuite.vcxproj.filters          |   3 +
 14 files changed, 1254 insertions(+)
 create mode 100644 ql/instruments/crossccyswap.cpp
 create mode 100644 ql/instruments/crossccyswap.hpp
 create mode 100644 ql/pricingengines/swap/crossccyswapengine.cpp
 create mode 100644 ql/pricingengines/swap/crossccyswapengine.hpp
 create mode 100644 test-suite/crossccyswap.cpp

diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
index 89bb2028461..05daab44233 100644
--- a/QuantLib.vcxproj
+++ b/QuantLib.vcxproj
@@ -912,6 +912,7 @@
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
     <ClInclude Include="ql\instruments\cpiswap.hpp" />
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp" />
+    <ClInclude Include="ql\instruments\crossccyswap.hpp" />
     <ClInclude Include="ql\instruments\dividendbarrieroption.hpp" />
     <ClInclude Include="ql\instruments\dividendschedule.hpp" />
     <ClInclude Include="ql\instruments\dividendvanillaoption.hpp" />
@@ -1580,6 +1581,7 @@
     <ClInclude Include="ql\pricingengines\quanto\all.hpp" />
     <ClInclude Include="ql\pricingengines\quanto\quantoengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\all.hpp" />
+    <ClInclude Include="ql\pricingengines\swap\crossccyswapengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\cvaswapengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\discountingswapengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\discretizedswap.hpp" />
@@ -2187,6 +2189,7 @@
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
     <ClCompile Include="ql\instruments\cpiswap.cpp" />
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp" />
+    <ClCompile Include="ql\instruments\crossccyswap.cpp" />
     <ClCompile Include="ql\instruments\doublebarrieroption.cpp" />
     <ClCompile Include="ql\instruments\doublebarriertype.cpp" />
     <ClCompile Include="ql\instruments\equitytotalreturnswap.cpp" />
@@ -2635,6 +2638,7 @@
     <ClCompile Include="ql\pricingengines\lookback\analyticcontinuouspartialfixedlookback.cpp" />
     <ClCompile Include="ql\pricingengines\lookback\analyticcontinuouspartialfloatinglookback.cpp" />
     <ClCompile Include="ql\pricingengines\lookback\mclookbackengine.cpp" />
+    <ClInclude Include="ql\pricingengines\swap\crossccyswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\cvaswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\discountingswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\discretizedswap.cpp" />
diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
index 433f0d94d0a..86da7f1dcc5 100644
--- a/QuantLib.vcxproj.filters
+++ b/QuantLib.vcxproj.filters
@@ -822,6 +822,9 @@
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\crossccyswap.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\dividendschedule.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -2700,6 +2703,9 @@
     <ClInclude Include="ql\pricingengines\swap\all.hpp">
       <Filter>pricingengines\swap</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\swap\crossccyswapengine.hpp">
+      <Filter>pricingengines\swap</Filter>
+    </ClInclude>
     <ClInclude Include="ql\pricingengines\swap\cvaswapengine.hpp">
       <Filter>pricingengines\swap</Filter>
     </ClInclude>
@@ -4745,6 +4751,9 @@
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\crossccyswap.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\europeanoption.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
@@ -5975,6 +5984,9 @@
     <ClCompile Include="ql\pricingengines\bond\discretizedconvertible.cpp">
       <Filter>pricingengines\bond</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\swap\crossccyswapengine.cpp">
+      <Filter>pricingengines\swap</Filter>
+    </ClCompile>
     <ClCompile Include="ql\pricingengines\swap\cvaswapengine.cpp">
       <Filter>pricingengines\swap</Filter>
     </ClCompile>
diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
index b27cc237424..048a0c48d56 100644
--- a/ql/CMakeLists.txt
+++ b/ql/CMakeLists.txt
@@ -271,6 +271,7 @@ set(QL_SOURCES
     instruments/cpicapfloor.cpp
     instruments/cpiswap.cpp
     instruments/creditdefaultswap.cpp
+    instruments/crossccyswap.cpp
     instruments/doublebarrieroption.cpp
     instruments/doublebarriertype.cpp
     instruments/equitytotalreturnswap.cpp
@@ -723,6 +724,7 @@ set(QL_SOURCES
     pricingengines/lookback/analyticcontinuouspartialfixedlookback.cpp
     pricingengines/lookback/analyticcontinuouspartialfloatinglookback.cpp
     pricingengines/lookback/mclookbackengine.cpp
+    pricingengines/swap/crossccyswapengine.cpp
     pricingengines/swap/cvaswapengine.cpp
     pricingengines/swap/discountingswapengine.cpp
     pricingengines/swap/discretizedswap.cpp
@@ -1336,6 +1338,7 @@ set(QL_HEADERS
     instruments/cpicapfloor.hpp
     instruments/cpiswap.hpp
     instruments/creditdefaultswap.hpp
+    instruments/crossccyswap.hpp
     instruments/dividendbarrieroption.hpp
     instruments/dividendschedule.hpp
     instruments/dividendvanillaoption.hpp
@@ -1955,6 +1958,7 @@ set(QL_HEADERS
     pricingengines/mclongstaffschwartzengine.hpp
     pricingengines/mcsimulation.hpp
     pricingengines/quanto/quantoengine.hpp
+    pricingengines/swap/crossccyswapengine.hpp
     pricingengines/swap/cvaswapengine.hpp
     pricingengines/swap/discountingswapengine.hpp
     pricingengines/swap/discretizedswap.hpp
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index 4f0ee47ef2e..bc2d4062085 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -25,6 +25,7 @@ this_include_HEADERS = \
     cpicapfloor.hpp \
     cpiswap.hpp \
     creditdefaultswap.hpp \
+    crossccyswap.hpp \
     dividendbarrieroption.hpp \
     dividendschedule.hpp \
     dividendvanillaoption.hpp \
@@ -100,6 +101,7 @@ cpp_files = \
     cpicapfloor.cpp \
     cpiswap.cpp \
     creditdefaultswap.cpp \
+    crossccyswap.cpp \
     doublebarrieroption.cpp \
     doublebarriertype.cpp \
     equitytotalreturnswap.cpp \
diff --git a/ql/instruments/crossccyswap.cpp b/ql/instruments/crossccyswap.cpp
new file mode 100644
index 00000000000..627a0f08a3a
--- /dev/null
+++ b/ql/instruments/crossccyswap.cpp
@@ -0,0 +1,107 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2016 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/instruments/crossccyswap.hpp>
+
+namespace QuantLib {
+
+CrossCcySwap::CrossCcySwap(const Leg& firstLeg, const Currency& firstLegCcy, const Leg& secondLeg,
+                           const Currency& secondLegCcy)
+    : Swap(firstLeg, secondLeg), inCcyLegNPV_(2, 0.0), inCcyLegBPS_(2, 0.0), npvDateDiscounts_(2, 0.0) {
+    currencies_.resize(2);
+    currencies_[0] = firstLegCcy;
+    currencies_[1] = secondLegCcy;
+}
+
+CrossCcySwap::CrossCcySwap(const std::vector<Leg>& legs, const std::vector<bool>& payer,
+                           const std::vector<Currency>& currencies)
+    : Swap(legs, payer), currencies_(currencies), inCcyLegNPV_(legs.size(), 0.0), inCcyLegBPS_(legs.size(), 0.0), npvDateDiscounts_(legs.size(), 0.0)  {
+    QL_REQUIRE(payer.size() == currencies_.size(), "Size mismatch "
+                                                   "between payer ("
+                                                       << payer.size() << ") and currencies (" << currencies_.size()
+                                                       << ")");
+}
+
+CrossCcySwap::CrossCcySwap(Size legs)
+    : Swap(legs), currencies_(legs), inCcyLegNPV_(legs, 0.0), inCcyLegBPS_(legs, 0.0), npvDateDiscounts_(legs, 0.0) {}
+
+void CrossCcySwap::setupArguments(PricingEngine::arguments* args) const {
+
+    Swap::setupArguments(args);
+
+    CrossCcySwap::arguments* arguments = dynamic_cast<CrossCcySwap::arguments*>(args);
+    QL_REQUIRE(arguments, "The arguments are not of type "
+                          "cross currency swap");
+
+    arguments->currencies = currencies_;
+}
+
+void CrossCcySwap::fetchResults(const PricingEngine::results* r) const {
+
+    Swap::fetchResults(r);
+
+    const CrossCcySwap::results* results = dynamic_cast<const CrossCcySwap::results*>(r);
+    QL_REQUIRE(results, "The results are not of type "
+                        "cross currency swap");
+
+    if (!results->inCcyLegNPV.empty()) {
+        QL_REQUIRE(results->inCcyLegNPV.size() == inCcyLegNPV_.size(),
+                   "Wrong number of in currency leg NPVs returned by engine");
+        inCcyLegNPV_ = results->inCcyLegNPV;
+    } else {
+        std::fill(inCcyLegNPV_.begin(), inCcyLegNPV_.end(), Null<Real>());
+    }
+
+    if (!results->inCcyLegBPS.empty()) {
+        QL_REQUIRE(results->inCcyLegBPS.size() == inCcyLegBPS_.size(),
+                   "Wrong number of in currency leg BPSs returned by engine");
+        inCcyLegBPS_ = results->inCcyLegBPS;
+    } else {
+        std::fill(inCcyLegBPS_.begin(), inCcyLegBPS_.end(), Null<Real>());
+    }
+
+    if (!results->npvDateDiscounts.empty()) {
+        QL_REQUIRE(results->npvDateDiscounts.size() == npvDateDiscounts_.size(),
+                   "Wrong number of npv date discounts returned by engine");
+        npvDateDiscounts_ = results->npvDateDiscounts;
+    } else {
+        std::fill(npvDateDiscounts_.begin(), npvDateDiscounts_.end(), Null<DiscountFactor>());
+    }
+}
+
+void CrossCcySwap::setupExpired() const {
+    Swap::setupExpired();
+    std::fill(inCcyLegBPS_.begin(), inCcyLegBPS_.end(), 0.0);
+    std::fill(inCcyLegNPV_.begin(), inCcyLegNPV_.end(), 0.0);
+    std::fill(npvDateDiscounts_.begin(), npvDateDiscounts_.end(), 0.0);
+}
+
+void CrossCcySwap::arguments::validate() const {
+    Swap::arguments::validate();
+    QL_REQUIRE(legs.size() == currencies.size(), "Number of legs is not equal to number of currencies");
+}
+
+void CrossCcySwap::results::reset() {
+    Swap::results::reset();
+    inCcyLegNPV.clear();
+    inCcyLegBPS.clear();
+    npvDateDiscounts.clear();
+}
+} // namespace QuantLib
diff --git a/ql/instruments/crossccyswap.hpp b/ql/instruments/crossccyswap.hpp
new file mode 100644
index 00000000000..16cd04596ac
--- /dev/null
+++ b/ql/instruments/crossccyswap.hpp
@@ -0,0 +1,147 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2016 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file crossccyswap.hpp
+    \brief Swap instrument with legs involving two currencies
+
+        \ingroup instruments
+*/
+
+#ifndef quantlib_cross_ccy_swap_hpp
+#define quantlib_cross_ccy_swap_hpp
+
+#include <ql/currency.hpp>
+#include <ql/instruments/swap.hpp>
+
+namespace QuantLib {
+
+//! Cross currency swap
+/*! The first leg holds the pay currency cashflows and second leg holds
+    the receive currency cashflows.
+
+            \ingroup instruments
+*/
+class CrossCcySwap : public QuantLib::Swap {
+public:
+    class arguments;
+    class results;
+    class engine;
+    //! \name Constructors
+    //@{
+    //! Constructs a cross-currency swap with two legs and their respective currencies
+    /*!
+        First leg is paid and the second is received.
+
+        \param firstLeg The sequence of cash flows for the first leg of the swap.
+        \param firstLegCcy The currency in which the first leg's cash flows are denominated.
+        \param secondLeg The sequence of cash flows for the second leg of the swap.
+        \param secondLegCcy The currency in which the second leg's cash flows are denominated.
+
+        \note The notional amounts, payment schedules, and other details of each leg must be
+            set up in the provided Leg objects before constructing the swap.
+    */
+    CrossCcySwap(const Leg& firstLeg, const Currency& firstLegCcy, const Leg& secondLeg, const Currency& secondLegCcy);
+    //! Constructs a cross-currency swap with multiple legs and their respective currencies
+    /*!
+        Initializes a cross-currency swap with an arbitrary number of legs, each specified
+        by a sequence of cash flows (Leg) and associated with its own currency. The payer vector
+        determines the direction of each leg (payer or receiver).
+
+        \param legs A vector of cash flow sequences, one for each leg of the swap.
+        \param payer A vector of booleans indicating the direction of each leg:
+                    \c true for payer, \c false for receiver.
+        \param currencies A vector of currencies, one for each leg, specifying the currency
+                        in which the corresponding leg's cash flows are denominated.
+
+        \note The sizes of the \p legs, \p payer, and \p currencies vectors must all be equal.
+        \warning The notional amounts, payment schedules, and other details of each leg must be
+                set up in the provided Leg objects before constructing the swap.
+    */
+    CrossCcySwap(const std::vector<Leg>& legs, const std::vector<bool>& payer, const std::vector<Currency>& currencies);
+    //@}
+    //! \name Instrument interface
+    //@{
+    void setupArguments(PricingEngine::arguments* args) const override;
+    void fetchResults(const PricingEngine::results*) const override;
+    //@}
+    //! \name Additional interface
+    //@{
+    const Currency& legCurrency(Size j) const {
+        QL_REQUIRE(j < legs_.size(), "leg# " << j << " doesn't exist!");
+        return currencies_[j];
+    }
+    Real inCcyLegBPS(Size j) const {
+        QL_REQUIRE(j < legs_.size(), "leg# " << j << " doesn't exist!");
+        calculate();
+        return inCcyLegBPS_[j];
+    }
+    Real inCcyLegNPV(Size j) const {
+        QL_REQUIRE(j < legs_.size(), "leg #" << j << " doesn't exist!");
+        calculate();
+        return inCcyLegNPV_[j];
+    }
+    DiscountFactor npvDateDiscounts(Size j) const {
+        QL_REQUIRE(j < legs_.size(), "leg #" << j << " doesn't exist!");
+        calculate();
+        return npvDateDiscounts_[j];
+    }
+    //@}
+protected:
+    //! \name Constructors
+    //@{
+    /*! This constructor can be used by derived classes that will
+        build their legs themselves.
+    */
+    CrossCcySwap(Size legs);
+    //@}
+    //! \name Instrument interface
+    //@{
+    void setupExpired() const override;
+    //@}
+
+    std::vector<Currency> currencies_;
+
+private:
+    mutable std::vector<Real> inCcyLegNPV_;
+    mutable std::vector<Real> inCcyLegBPS_;
+    mutable std::vector<DiscountFactor> npvDateDiscounts_;
+};
+
+//! \ingroup instruments
+class CrossCcySwap::arguments : public Swap::arguments {
+public:
+    std::vector<Currency> currencies;
+    void validate() const override;
+};
+
+//! \ingroup instruments
+class CrossCcySwap::results : public Swap::results {
+public:
+    std::vector<Real> inCcyLegNPV;
+    std::vector<Real> inCcyLegBPS;
+    std::vector<DiscountFactor> npvDateDiscounts;
+    void reset() override;
+};
+
+//! \ingroup instruments
+class CrossCcySwap::engine : public GenericEngine<CrossCcySwap::arguments, CrossCcySwap::results> {};
+} // namespace QuantLib
+
+#endif
diff --git a/ql/pricingengines/swap/Makefile.am b/ql/pricingengines/swap/Makefile.am
index 3d64c75c6e9..69b75947d11 100644
--- a/ql/pricingengines/swap/Makefile.am
+++ b/ql/pricingengines/swap/Makefile.am
@@ -4,12 +4,14 @@ AM_CPPFLAGS = -I${top_builddir} -I${top_srcdir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+	crossccyswapengine.hpp \
     cvaswapengine.hpp \
     discountingswapengine.hpp \
     discretizedswap.hpp \
     treeswapengine.hpp
 
 cpp_files = \
+	crossccyswapengine.cpp \
     cvaswapengine.cpp \
     discountingswapengine.cpp \
     discretizedswap.cpp \
diff --git a/ql/pricingengines/swap/crossccyswapengine.cpp b/ql/pricingengines/swap/crossccyswapengine.cpp
new file mode 100644
index 00000000000..85824299c6e
--- /dev/null
+++ b/ql/pricingengines/swap/crossccyswapengine.cpp
@@ -0,0 +1,165 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2016 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/cashflows/cashflows.hpp>
+#include <ql/exchangerate.hpp>
+#include <ql/utilities/dataformatters.hpp>
+
+#include <ql/pricingengines/swap/crossccyswapengine.hpp>
+
+namespace QuantLib {
+
+CrossCcySwapEngine::CrossCcySwapEngine(const Currency& ccy1, const Handle<YieldTermStructure>& currency1Discountcurve,
+                                       const Currency& ccy2, const Handle<YieldTermStructure>& currency2Discountcurve,
+                                       const Handle<Quote>& spotFX, ext::optional<bool> includeSettlementDateFlows,
+                                       const Date& settlementDate, const Date& npvDate, const Date& spotFXSettleDate)
+    : ccy1_(ccy1), currency1Discountcurve_(currency1Discountcurve), ccy2_(ccy2),
+      currency2Discountcurve_(currency2Discountcurve), spotFX_(spotFX),
+      includeSettlementDateFlows_(includeSettlementDateFlows), settlementDate_(settlementDate), npvDate_(npvDate),
+      spotFXSettleDate_(spotFXSettleDate) {
+
+    registerWith(currency1Discountcurve_);
+    registerWith(currency2Discountcurve_);
+    registerWith(spotFX_);
+}
+
+void CrossCcySwapEngine::calculate() const {
+
+    QL_REQUIRE(!currency1Discountcurve_.empty() && !currency2Discountcurve_.empty(),
+               "Discounting term structure handle is empty.");
+
+    QL_REQUIRE(!spotFX_.empty(), "FX spot quote handle is empty.");
+
+    QL_REQUIRE(currency1Discountcurve_->referenceDate() == currency2Discountcurve_->referenceDate(),
+               "Term structures should have the same reference date.");
+    Date referenceDate = currency1Discountcurve_->referenceDate();
+    Date settlementDate = settlementDate_;
+    if (settlementDate_ == Date()) {
+        settlementDate = referenceDate;
+    } else {
+        QL_REQUIRE(settlementDate >= referenceDate, "Settlement date (" << settlementDate
+                                                                        << ") cannot be before discount curve "
+                                                                           "reference date ("
+                                                                        << referenceDate << ")");
+    }
+
+    Size numLegs = arguments_.legs.size();
+    // - Instrument::Results
+    if (npvDate_ == Date()) {
+        results_.valuationDate = referenceDate;
+    } else {
+        QL_REQUIRE(npvDate_ >= referenceDate, "NPV date (" << npvDate_
+                                                           << ") cannot be before "
+                                                              "discount curve reference date ("
+                                                           << referenceDate << ")");
+        results_.valuationDate = npvDate_;
+    }
+
+    Date spotFXSettleDate = spotFXSettleDate_;
+    if (spotFXSettleDate_ == Date()) {
+        spotFXSettleDate = referenceDate;
+    } else {
+        QL_REQUIRE(spotFXSettleDate >= referenceDate, "FX settlement date (" << spotFXSettleDate
+                                                                        << ") cannot be before discount curve "
+                                                                           "reference date ("
+                                                                        << referenceDate << ")");
+    }
+    
+    results_.value = 0.0;
+    results_.errorEstimate = Null<Real>();
+    // - Swap::Results
+    results_.legNPV.resize(numLegs);
+    results_.legBPS.resize(numLegs);
+    results_.startDiscounts.resize(numLegs);
+    results_.endDiscounts.resize(numLegs);
+    // - CrossCcySwap::Results
+    results_.inCcyLegNPV.resize(numLegs);
+    results_.inCcyLegBPS.resize(numLegs);
+    results_.npvDateDiscounts.resize(numLegs);
+
+    bool includeReferenceDateFlows =
+        includeSettlementDateFlows_ ? *includeSettlementDateFlows_ : Settings::instance().includeReferenceDateEvents();
+
+    for (Size legNo = 0; legNo < numLegs; legNo++) {
+        try {
+            // Choose the correct discount curve for the leg.
+            Handle<YieldTermStructure> legDiscountCurve;
+            if (arguments_.currencies[legNo] == ccy1_) {
+                legDiscountCurve = currency1Discountcurve_;
+            } else {
+                QL_REQUIRE(arguments_.currencies[legNo] == ccy2_, "leg ccy (" << arguments_.currencies[legNo]
+                                                                              << ") must be ccy1 (" << ccy1_
+                                                                              << ") or ccy2 (" << ccy2_ << ")");
+                legDiscountCurve = currency2Discountcurve_;
+            }
+            results_.npvDateDiscounts[legNo] = legDiscountCurve->discount(results_.valuationDate);
+
+            // Calculate the NPV and BPS of each leg in its currency.
+            std::tie(results_.inCcyLegNPV[legNo], results_.inCcyLegBPS[legNo]) =
+                CashFlows::npvbps(arguments_.legs[legNo], **legDiscountCurve, includeReferenceDateFlows, settlementDate,
+                                  results_.valuationDate);
+            results_.inCcyLegNPV[legNo] *= arguments_.payer[legNo];
+            results_.inCcyLegBPS[legNo] *= arguments_.payer[legNo];
+
+            results_.legNPV[legNo] = results_.inCcyLegNPV[legNo];
+            results_.legBPS[legNo] = results_.inCcyLegBPS[legNo];
+
+            // Convert to NPV currency if necessary.
+            if (arguments_.currencies[legNo] != ccy1_) {
+                // results_.legNPV[legNo] *= spotFX_->value();
+                // results_.legBPS[legNo] *= spotFX_->value();
+				Real spotFXRate = spotFX_->value();
+				if (spotFXSettleDate != referenceDate) {
+					// Use the parity relation between discount factors and fx rates to compute spotFXRate
+					// Generic formula: fx(T1)/fx(T2) = FwdDF_Quote(T1->T2) / FwdDF_Base(T1->T2),
+                    // where fx represents the currency ratio Base/Quote
+					Real ccy1DF = currency1Discountcurve_->discount(spotFXSettleDate);
+					Real ccy2DF = currency2Discountcurve_->discount(spotFXSettleDate);
+					QL_REQUIRE(ccy2DF != 0.0, "Discount Factor associated with currency " << ccy2_
+                                                 << " at maturity " << spotFXSettleDate << " cannot be zero");
+					spotFXRate *= ccy1DF / ccy2DF;
+				}
+				results_.legNPV[legNo] *= spotFXRate;
+				results_.legBPS[legNo] *= spotFXRate;
+            }
+
+            // Get start date and end date discount for the leg
+            Date startDate = CashFlows::startDate(arguments_.legs[legNo]);
+            if (startDate >= currency1Discountcurve_->referenceDate()) {
+                results_.startDiscounts[legNo] = legDiscountCurve->discount(startDate);
+            } else {
+                results_.startDiscounts[legNo] = Null<DiscountFactor>();
+            }
+
+            Date maturityDate = CashFlows::maturityDate(arguments_.legs[legNo]);
+            if (maturityDate >= currency1Discountcurve_->referenceDate()) {
+                results_.endDiscounts[legNo] = legDiscountCurve->discount(maturityDate);
+            } else {
+                results_.endDiscounts[legNo] = Null<DiscountFactor>();
+            }
+
+        } catch (std::exception& e) {
+            QL_FAIL(io::ordinal(legNo + 1) << " leg: " << e.what());
+        }
+
+        results_.value += results_.legNPV[legNo];
+    }
+}
+} // namespace QuantLib
diff --git a/ql/pricingengines/swap/crossccyswapengine.hpp b/ql/pricingengines/swap/crossccyswapengine.hpp
new file mode 100644
index 00000000000..258312224ce
--- /dev/null
+++ b/ql/pricingengines/swap/crossccyswapengine.hpp
@@ -0,0 +1,107 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2016 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file ql/pricingengines/swap/crossccyswapengine.hpp
+    \brief Cross currency swap engine
+
+        \ingroup engines
+*/
+
+#ifndef quantlib_cross_ccy_swap_engine_hpp
+#define quantlib_cross_ccy_swap_engine_hpp
+
+#include <ql/termstructures/yieldtermstructure.hpp>
+
+#include <ql/instruments/crossccyswap.hpp>
+
+namespace QuantLib {
+
+//! Cross currency swap engine
+
+/*! This class implements an engine for pricing swaps comprising legs that
+    involve two currencies. The npv is expressed in ccy1. The given currencies
+    ccy1 and ccy2 are matched to the correct swap legs. The evaluation date is the
+    reference date of either discounting curve (which must be equal).
+
+            \ingroup engines
+*/
+class CrossCcySwapEngine : public CrossCcySwap::engine {
+public:
+    //! \name Constructors
+    //@{
+    /*! \param ccy1
+               Currency 1
+        \param currency1DiscountCurve
+               Discount curve for cash flows in currency 1
+        \param ccy2
+               Currency 2
+        \param currency2DiscountCurve
+               Discount curve for cash flows in currency 2
+        \param spotFX
+               The market spot rate quote, given as units of ccy1
+               for one unit of ccy2. The spot rate must be given
+               w.r.t. a settlement equal to the npv date.
+        \param includeSettlementDateFlows, settlementDate
+               If includeSettlementDateFlows is true (false), cashflows
+               on the settlementDate are (not) included in the NPV.
+               If not given the settlement date is set to the
+               npv date.
+        \param npvDate
+               Discount to this date. If not given the npv date
+               is set to the evaluation date
+        \param spotFXSettleDate
+               FX conversion as of this date if specified explicitly
+    */
+    CrossCcySwapEngine(const Currency& ccy1, const Handle<YieldTermStructure>& currency1DiscountCurve,
+                       const Currency& ccy2, const Handle<YieldTermStructure>& currency2DiscountCurve,
+                       const Handle<Quote>& spotFX, ext::optional<bool> includeSettlementDateFlows = ext::nullopt,
+                       const Date& settlementDate = Date(), const Date& npvDate = Date(), const Date& spotFXSettleDate = Date());
+    //@}
+
+    //! \name PricingEngine interface
+    //@{
+    void calculate() const override;
+    //@}
+
+    //! \name Inspectors
+    //@{
+    const Handle<YieldTermStructure>& currency1DiscountCurve() const { return currency1Discountcurve_; }
+    const Handle<YieldTermStructure>& currency2DiscountCurve() const { return currency2Discountcurve_; }
+
+    const Currency& currency1() const { return ccy1_; }
+    const Currency& currency2() const { return ccy2_; }
+
+    const Handle<Quote>& spotFX() const { return spotFX_; }
+    //@}
+
+private:
+    Currency ccy1_;
+    Handle<YieldTermStructure> currency1Discountcurve_;
+    Currency ccy2_;
+    Handle<YieldTermStructure> currency2Discountcurve_;
+    Handle<Quote> spotFX_;
+    ext::optional<bool> includeSettlementDateFlows_;
+    Date settlementDate_;
+    Date npvDate_;
+    Date spotFXSettleDate_;
+};
+} // namespace QuantLib
+
+#endif
diff --git a/test-suite/CMakeLists.txt b/test-suite/CMakeLists.txt
index 39ab5081e4d..372ab2d5422 100644
--- a/test-suite/CMakeLists.txt
+++ b/test-suite/CMakeLists.txt
@@ -39,6 +39,7 @@ set(QL_TEST_SOURCES
     covariance.cpp
     creditdefaultswap.cpp
     creditriskplus.cpp
+    crossccyswap.cpp
     crosscurrencyratehelpers.cpp
     currency.cpp
     curvestates.cpp
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index c881f4f3887..9c1643fde93 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -40,6 +40,7 @@ QL_TEST_SRCS = \
 	covariance.cpp \
 	creditdefaultswap.cpp \
 	creditriskplus.cpp \
+	crossccyswap.cpp \
 	crosscurrencyratehelpers.cpp \
 	currency.cpp \
 	curvestates.cpp \
diff --git a/test-suite/crossccyswap.cpp b/test-suite/crossccyswap.cpp
new file mode 100644
index 00000000000..28ced5a11f9
--- /dev/null
+++ b/test-suite/crossccyswap.cpp
@@ -0,0 +1,698 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2025 Paolo D'Elia
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "toplevelfixture.hpp"
+#include "utilities.hpp"
+#include <ql/instruments/crossccyswap.hpp>
+#include <ql/indexes/ibor/usdlibor.hpp>
+#include <ql/indexes/ibor/gbplibor.hpp>
+#include <ql/cashflows/simplecashflow.hpp>
+#include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/cashflows/iborcoupon.hpp>
+#include <ql/pricingengines/swap/crossccyswapengine.hpp>
+#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
+#include <ql/time/calendars/all.hpp>
+#include <ql/currencies/all.hpp>
+
+using namespace std;
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
+
+BOOST_AUTO_TEST_SUITE(CrossCcySwapTests)
+
+#define CHECK_XCCY_SWAP_RESULT(what, calculated, expected, tolerance)   \
+    if (std::fabs(calculated-expected) > tolerance) { \
+        BOOST_ERROR("Failed to reproduce " what ":" \
+                    << "\n    expected:   " << std::setprecision(12) << expected \
+                    << "\n    calculated: " << std::setprecision(12) << calculated \
+                    << "\n    error:      " << std::setprecision(12) << std::fabs(calculated-expected)); \
+    }
+
+// Data for the tests
+
+Handle<YieldTermStructure> CHFDiscountCurve() {
+    std::vector<Date> dates(27);
+    std::vector<DiscountFactor> dfs(27);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1.0;
+    dates[1] = Date(14, Sep, 2018);
+    dfs[1] = 0.99998;
+    dates[2] = Date(20, Sep, 2018);
+    dfs[2] = 0.99975;
+    dates[3] = Date(27, Sep, 2018);
+    dfs[3] = 0.99945;
+    dates[4] = Date(04, Oct, 2018);
+    dfs[4] = 0.99910;
+    dates[5] = Date(15, Oct, 2018);
+    dfs[5] = 0.99855;
+    dates[6] = Date(13, Nov, 2018);
+    dfs[6] = 0.99700;
+    dates[7] = Date(13, Dec, 2018);
+    dfs[7] = 0.99540;
+    dates[8] = Date(14, Jan, 2019);
+    dfs[8] = 0.99360;
+    dates[9] = Date(13, Feb, 2019);
+    dfs[9] = 0.99190;
+    dates[10] = Date(13, Mar, 2019);
+    dfs[10] = 0.99030;
+    dates[11] = Date(13, Jun, 2019);
+    dfs[11] = 0.98430;
+    dates[12] = Date(13, Sep, 2019);
+    dfs[12] = 0.97800;
+    dates[13] = Date(13, Mar, 2020);
+    dfs[13] = 0.96500;
+    dates[14] = Date(14, Sep, 2020);
+    dfs[14] = 0.95200;
+    dates[15] = Date(13, Sep, 2021);
+    dfs[15] = 0.92700;
+    dates[16] = Date(13, Sep, 2022);
+    dfs[16] = 0.90300;
+    dates[17] = Date(13, Sep, 2023);
+    dfs[17] = 0.88000;
+    dates[18] = Date(15, Sep, 2025);
+    dfs[18] = 0.83600;
+    dates[19] = Date(13, Sep, 2028);
+    dfs[19] = 0.77300;
+    dates[20] = Date(13, Sep, 2030);
+    dfs[20] = 0.73400;
+    dates[21] = Date(13, Sep, 2033);
+    dfs[21] = 0.67800;
+    dates[22] = Date(13, Sep, 2038);
+    dfs[22] = 0.59600;
+    dates[23] = Date(14, Sep, 2043);
+    dfs[23] = 0.52800;
+    dates[24] = Date(14, Sep, 2048);
+    dfs[24] = 0.46800;
+    dates[25] = Date(13, Sep, 2058);
+    dfs[25] = 0.36700;
+    dates[26] = Date(13, Sep, 2068);
+    dfs[26] = 0.29700;
+
+    return Handle<YieldTermStructure>(
+        ext::make_shared<DiscountCurve>(dates, dfs, dayCounter)
+    );
+}
+
+Handle<YieldTermStructure> USDDiscountCurve() {
+
+    vector<Date> dates(27);
+    vector<DiscountFactor> dfs(27);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(14, Sep, 2018);
+    dfs[1] = 0.99994666951096;
+    dates[2] = Date(20, Sep, 2018);
+    dfs[2] = 0.999627719221066;
+    dates[3] = Date(27, Sep, 2018);
+    dfs[3] = 0.999254084816959;
+    dates[4] = Date(04, Oct, 2018);
+    dfs[4] = 0.998837020905631;
+    dates[5] = Date(15, Oct, 2018);
+    dfs[5] = 0.998176132423265;
+    dates[6] = Date(13, Nov, 2018);
+    dfs[6] = 0.99644587210048;
+    dates[7] = Date(13, Dec, 2018);
+    dfs[7] = 0.994644668243218;
+    dates[8] = Date(14, Jan, 2019);
+    dfs[8] = 0.992596634984033;
+    dates[9] = Date(13, Feb, 2019);
+    dfs[9] = 0.990636503861861;
+    dates[10] = Date(13, Mar, 2019);
+    dfs[10] = 0.988809127958345;
+    dates[11] = Date(13, Jun, 2019);
+    dfs[11] = 0.982417991680868;
+    dates[12] = Date(13, Sep, 2019);
+    dfs[12] = 0.975723193871552;
+    dates[13] = Date(13, Mar, 2020);
+    dfs[13] = 0.96219213956104;
+    dates[14] = Date(14, Sep, 2020);
+    dfs[14] = 0.948588232418325;
+    dates[15] = Date(13, Sep, 2021);
+    dfs[15] = 0.92279636773464;
+    dates[16] = Date(13, Sep, 2022);
+    dfs[16] = 0.898345201557914;
+    dates[17] = Date(13, Sep, 2023);
+    dfs[17] = 0.874715322269088;
+    dates[18] = Date(15, Sep, 2025);
+    dfs[18] = 0.828658611114833;
+    dates[19] = Date(13, Sep, 2028);
+    dfs[19] = 0.763030152740947;
+    dates[20] = Date(13, Sep, 2030);
+    dfs[20] = 0.722238847877756;
+    dates[21] = Date(13, Sep, 2033);
+    dfs[21] = 0.664460629674362;
+    dates[22] = Date(13, Sep, 2038);
+    dfs[22] = 0.580288693473926;
+    dates[23] = Date(14, Sep, 2043);
+    dfs[23] = 0.510857007600479;
+    dates[24] = Date(14, Sep, 2048);
+    dfs[24] = 0.44941525649436;
+    dates[25] = Date(13, Sep, 2058);
+    dfs[25] = 0.352389176933952;
+    dates[26] = Date(13, Sep, 2068);
+    dfs[26] = 0.28183300653329;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> USDProjectionCurve() {
+
+    vector<Date> dates(25);
+    vector<DiscountFactor> dfs(25);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(13, Dec, 2018);
+    dfs[1] = 0.994134145990132;
+    dates[2] = Date(19, Dec, 2018);
+    dfs[2] = 0.993695776146116;
+    dates[3] = Date(20, Mar, 2019);
+    dfs[3] = 0.987047992958673;
+    dates[4] = Date(19, Jun, 2019);
+    dfs[4] = 0.980016364694049;
+    dates[5] = Date(18, Sep, 2019);
+    dfs[5] = 0.972708376777628;
+    dates[6] = Date(18, Dec, 2019);
+    dfs[6] = 0.965277162951128;
+    dates[7] = Date(18, Mar, 2020);
+    dfs[7] = 0.957799302363697;
+    dates[8] = Date(14, Sep, 2020);
+    dfs[8] = 0.943264331984248;
+    dates[9] = Date(13, Sep, 2021);
+    dfs[9] = 0.914816470778467;
+    dates[10] = Date(13, Sep, 2022);
+    dfs[10] = 0.88764714641623;
+    dates[11] = Date(13, Sep, 2023);
+    dfs[11] = 0.861475671008934;
+    dates[12] = Date(13, Sep, 2024);
+    dfs[12] = 0.835944798717806;
+    dates[13] = Date(15, Sep, 2025);
+    dfs[13] = 0.810833947617338;
+    dates[14] = Date(14, Sep, 2026);
+    dfs[14] = 0.78631849267276;
+    dates[15] = Date(13, Sep, 2027);
+    dfs[15] = 0.762267648509673;
+    dates[16] = Date(13, Sep, 2028);
+    dfs[16] = 0.738613627359076;
+    dates[17] = Date(13, Sep, 2029);
+    dfs[17] = 0.715502378943932;
+    dates[18] = Date(13, Sep, 2030);
+    dfs[18] = 0.693380472578176;
+    dates[19] = Date(13, Sep, 2033);
+    dfs[19] = 0.631097994110912;
+    dates[20] = Date(13, Sep, 2038);
+    dfs[20] = 0.540797634630251;
+    dates[21] = Date(14, Sep, 2043);
+    dfs[21] = 0.465599237331079;
+    dates[22] = Date(14, Sep, 2048);
+    dfs[22] = 0.402119473746341;
+    dates[23] = Date(13, Sep, 2058);
+    dfs[23] = 0.303129773289934;
+    dates[24] = Date(13, Sep, 2068);
+    dfs[24] = 0.23210070222569;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> GBPDiscountCurve() {
+
+    vector<Date> dates(27);
+    vector<DiscountFactor> dfs(27);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(14, Sep, 2018);
+    dfs[1] = 0.99994666951096;
+    dates[2] = Date(20, Sep, 2018);
+    dfs[2] = 0.999627719221066;
+    dates[3] = Date(27, Sep, 2018);
+    dfs[3] = 0.999254084816959;
+    dates[4] = Date(04, Oct, 2018);
+    dfs[4] = 0.998837020905631;
+    dates[5] = Date(15, Oct, 2018);
+    dfs[5] = 0.998176132423265;
+    dates[6] = Date(13, Nov, 2018);
+    dfs[6] = 0.99644587210048;
+    dates[7] = Date(13, Dec, 2018);
+    dfs[7] = 0.994644668243218;
+    dates[8] = Date(14, Jan, 2019);
+    dfs[8] = 0.992596634984033;
+    dates[9] = Date(13, Feb, 2019);
+    dfs[9] = 0.990636503861861;
+    dates[10] = Date(13, Mar, 2019);
+    dfs[10] = 0.988809127958345;
+    dates[11] = Date(13, Jun, 2019);
+    dfs[11] = 0.982417991680868;
+    dates[12] = Date(13, Sep, 2019);
+    dfs[12] = 0.975723193871552;
+    dates[13] = Date(13, Mar, 2020);
+    dfs[13] = 0.96219213956104;
+    dates[14] = Date(14, Sep, 2020);
+    dfs[14] = 0.948588232418325;
+    dates[15] = Date(13, Sep, 2021);
+    dfs[15] = 0.92279636773464;
+    dates[16] = Date(13, Sep, 2022);
+    dfs[16] = 0.898345201557914;
+    dates[17] = Date(13, Sep, 2023);
+    dfs[17] = 0.874715322269088;
+    dates[18] = Date(15, Sep, 2025);
+    dfs[18] = 0.828658611114833;
+    dates[19] = Date(13, Sep, 2028);
+    dfs[19] = 0.763030152740947;
+    dates[20] = Date(13, Sep, 2030);
+    dfs[20] = 0.722238847877756;
+    dates[21] = Date(13, Sep, 2033);
+    dfs[21] = 0.664460629674362;
+    dates[22] = Date(13, Sep, 2038);
+    dfs[22] = 0.580288693473926;
+    dates[23] = Date(14, Sep, 2043);
+    dfs[23] = 0.510857007600479;
+    dates[24] = Date(14, Sep, 2048);
+    dfs[24] = 0.44941525649436;
+    dates[25] = Date(13, Sep, 2058);
+    dfs[25] = 0.352389176933952;
+    dates[26] = Date(13, Sep, 2068);
+    dfs[26] = 0.28183300653329;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> GBPProjectionCurve() {
+
+    vector<Date> dates(25);
+    vector<DiscountFactor> dfs(25);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(13, Dec, 2018);
+    dfs[1] = 0.994134145990132;
+    dates[2] = Date(19, Dec, 2018);
+    dfs[2] = 0.993695776146116;
+    dates[3] = Date(20, Mar, 2019);
+    dfs[3] = 0.987047992958673;
+    dates[4] = Date(19, Jun, 2019);
+    dfs[4] = 0.980016364694049;
+    dates[5] = Date(18, Sep, 2019);
+    dfs[5] = 0.972708376777628;
+    dates[6] = Date(18, Dec, 2019);
+    dfs[6] = 0.965277162951128;
+    dates[7] = Date(18, Mar, 2020);
+    dfs[7] = 0.957799302363697;
+    dates[8] = Date(14, Sep, 2020);
+    dfs[8] = 0.943264331984248;
+    dates[9] = Date(13, Sep, 2021);
+    dfs[9] = 0.914816470778467;
+    dates[10] = Date(13, Sep, 2022);
+    dfs[10] = 0.88764714641623;
+    dates[11] = Date(13, Sep, 2023);
+    dfs[11] = 0.861475671008934;
+    dates[12] = Date(13, Sep, 2024);
+    dfs[12] = 0.835944798717806;
+    dates[13] = Date(15, Sep, 2025);
+    dfs[13] = 0.810833947617338;
+    dates[14] = Date(14, Sep, 2026);
+    dfs[14] = 0.78631849267276;
+    dates[15] = Date(13, Sep, 2027);
+    dfs[15] = 0.762267648509673;
+    dates[16] = Date(13, Sep, 2028);
+    dfs[16] = 0.738613627359076;
+    dates[17] = Date(13, Sep, 2029);
+    dfs[17] = 0.715502378943932;
+    dates[18] = Date(13, Sep, 2030);
+    dfs[18] = 0.693380472578176;
+    dates[19] = Date(13, Sep, 2033);
+    dfs[19] = 0.631097994110912;
+    dates[20] = Date(13, Sep, 2038);
+    dfs[20] = 0.540797634630251;
+    dates[21] = Date(14, Sep, 2043);
+    dfs[21] = 0.465599237331079;
+    dates[22] = Date(14, Sep, 2048);
+    dfs[22] = 0.402119473746341;
+    dates[23] = Date(13, Sep, 2058);
+    dfs[23] = 0.303129773289934;
+    dates[24] = Date(13, Sep, 2068);
+    dfs[24] = 0.23210070222569;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> TRYDiscountCurve() {
+
+    vector<Date> dates(18);
+    vector<DiscountFactor> dfs(18);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(15, Oct, 2018);
+    dfs[1] = 0.979316826759248;
+    dates[2] = Date(13, Nov, 2018);
+    dfs[2] = 0.959997676372812;
+    dates[3] = Date(13, Dec, 2018);
+    dfs[3] = 0.939987819768341;
+    dates[4] = Date(14, Jan, 2019);
+    dfs[4] = 0.917879348095857;
+    dates[5] = Date(13, Feb, 2019);
+    dfs[5] = 0.897309447005875;
+    dates[6] = Date(13, Mar, 2019);
+    dfs[6] = 0.878377243062539;
+    dates[7] = Date(13, Sep, 2019);
+    dfs[7] = 0.76374502801031;
+    dates[8] = Date(14, Sep, 2020);
+    dfs[8] = 0.595566112318217;
+    dates[9] = Date(13, Sep, 2021);
+    dfs[9] = 0.483132147134316;
+    dates[10] = Date(13, Sep, 2022);
+    dfs[10] = 0.402466076327945;
+    dates[11] = Date(13, Sep, 2023);
+    dfs[11] = 0.345531820837392;
+    dates[12] = Date(13, Sep, 2024);
+    dfs[12] = 0.298070398810781;
+    dates[13] = Date(13, Sep, 2025);
+    dfs[13] = 0.264039803303106;
+    dates[14] = Date(13, Sep, 2026);
+    dfs[14] = 0.237813130821584;
+    dates[15] = Date(13, Sep, 2027);
+    dfs[15] = 0.216456097559999;
+    dates[16] = Date(13, Sep, 2028);
+    dfs[16] = 0.200289181912326;
+    dates[17] = Date(13, Sep, 2033);
+    dfs[17] = 0.122659501286113;
+
+    return Handle<YieldTermStructure>(QuantLib::ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+// Helper functions
+
+ext::shared_ptr<CrossCcySwap> makeFixFixXCCYSwap(Real leg1Nominal, Rate spotFx) {
+	Calendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), Switzerland());
+	
+	Date referenceDate = payCalendar.adjust(Settings::instance().evaluationDate());
+    Date start_date = payCalendar.advance(referenceDate, Period(2, Days));
+    Date end_date = payCalendar.advance(referenceDate, Period(5, Years));
+    DateGeneration::Rule rule = DateGeneration::Forward;
+    BusinessDayConvention convention = Following;
+    bool end_of_month = false;
+    DayCounter dc = Actual365Fixed();
+
+    Schedule schedule(
+        start_date,
+        end_date,
+        Period(3, Months),
+        payCalendar,
+        convention,
+        convention,
+        rule,
+        end_of_month
+    );
+
+	Rate usdRate = 0.0575;
+	Rate chfRate = 0.0201;
+
+	// USD Leg
+    Leg usdLeg = FixedRateLeg(schedule)
+                       .withNotionals(leg1Nominal)
+                       .withCouponRates(usdRate, dc)
+                       .withPaymentAdjustment(convention)
+                       .withPaymentCalendar(payCalendar);
+	Date aDate = payCalendar.adjust(schedule.dates().front(), convention);
+    auto initialCapitalFlow = ext::make_shared<SimpleCashFlow>(-leg1Nominal, aDate);
+    auto finalCapitalFlow = ext::make_shared<SimpleCashFlow>(leg1Nominal, usdLeg.back()->date());
+	usdLeg.insert(usdLeg.begin(), initialCapitalFlow);
+    usdLeg.push_back(finalCapitalFlow);
+
+	// CHF Leg
+    Leg chfLeg = FixedRateLeg(schedule)
+                        .withNotionals(leg1Nominal * spotFx)
+                        .withCouponRates(chfRate, dc)
+                        .withPaymentAdjustment(convention)
+                        .withPaymentCalendar(payCalendar);
+    auto initialCHFCapitalFlow = ext::make_shared<SimpleCashFlow>(-leg1Nominal * spotFx, aDate);
+    auto finalCHFCapitalFlow = ext::make_shared<SimpleCashFlow>(leg1Nominal * spotFx, chfLeg.back()->date());
+	chfLeg.insert(chfLeg.begin(), initialCHFCapitalFlow);
+    chfLeg.push_back(finalCHFCapitalFlow);
+	
+	// Create swap
+	return ext::shared_ptr<CrossCcySwap> (new CrossCcySwap(
+		usdLeg, USDCurrency(), chfLeg, CHFCurrency()));
+}
+
+ext::shared_ptr<CrossCcySwap> makeFixFloatXCCYSwap(Real leg1Nominal, Rate spotFx) {
+	Calendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), UnitedKingdom(), Turkey());
+	
+	Date referenceDate = payCalendar.adjust(Settings::instance().evaluationDate());
+    Date start_date = payCalendar.advance(referenceDate, Period(2, Days));
+    Date end_date = payCalendar.advance(referenceDate, Period(5, Years));
+    DateGeneration::Rule rule = DateGeneration::Backward;
+    BusinessDayConvention convention = ModifiedFollowing;
+    BusinessDayConvention payConvention = Following;
+    bool end_of_month = false;
+    DayCounter dc = Actual365Fixed();
+
+    Schedule floatSchedule(
+        start_date,
+        end_date,
+        Period(3, Months),
+        payCalendar,
+        convention,
+        convention,
+        rule,
+        end_of_month
+    );
+	
+	Schedule fixSchedule(
+        start_date,
+        end_date,
+        Period(1, Years),
+        payCalendar,
+        convention,
+        convention,
+        rule,
+        end_of_month
+    );
+
+	// TRY Leg
+	Rate tryRate = 0.249;
+	Leg tryLeg = FixedRateLeg(fixSchedule)
+                    .withNotionals(leg1Nominal * spotFx)
+                    .withCouponRates(tryRate, dc)
+                    .withPaymentAdjustment(payConvention)
+                    .withPaymentCalendar(payCalendar);
+	Date aDate = payCalendar.adjust(fixSchedule.dates().front(), convention);
+    auto initialTRYCapitalFlow = ext::make_shared<SimpleCashFlow>(-leg1Nominal * spotFx, aDate);
+    auto finalTRYCapitalFlow = ext::make_shared<SimpleCashFlow>(leg1Nominal * spotFx, tryLeg.back()->date());
+	tryLeg.insert(tryLeg.begin(), initialTRYCapitalFlow);
+    tryLeg.push_back(finalTRYCapitalFlow);
+
+	// USD Leg
+    auto usdlibor3M = ext::make_shared<USDLibor>(Period(3, Months), USDProjectionCurve());
+    Leg usdLeg = IborLeg(floatSchedule, usdlibor3M)
+				.withNotionals(leg1Nominal)
+				.withPaymentAdjustment(payConvention)
+                .withPaymentCalendar(payCalendar);
+	aDate = payCalendar.adjust(floatSchedule.dates().front(), convention);
+    auto initialUSDNotionalExchange = ext::make_shared<SimpleCashFlow>(-leg1Nominal, aDate);
+	usdLeg.insert(usdLeg.begin(), initialUSDNotionalExchange);
+	auto finalUSDNotionalExchange = ext::make_shared<SimpleCashFlow>(leg1Nominal, usdLeg.back()->date());
+	usdLeg.push_back(finalUSDNotionalExchange);
+	
+	// Create swap
+	return ext::shared_ptr<CrossCcySwap>(new CrossCcySwap(
+		tryLeg, TRYCurrency(), usdLeg, USDCurrency()));
+}
+
+ext::shared_ptr<CrossCcySwap> makeFloatFloatXCCYSwap(Real leg1Nominal, Rate spotFx) {
+	Calendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), UnitedKingdom());
+	
+	Date referenceDate = payCalendar.adjust(Settings::instance().evaluationDate());
+    Date start_date = payCalendar.advance(referenceDate, Period(2, Days));
+    Date end_date = payCalendar.advance(referenceDate, Period(5, Years));
+    DateGeneration::Rule rule = DateGeneration::Forward;
+    BusinessDayConvention convention = Following;
+    bool end_of_month = false;
+
+    Schedule schedule(
+        start_date,
+        end_date,
+        Period(3, Months),
+        payCalendar,
+        convention,
+        convention,
+        rule,
+        end_of_month
+    );
+
+	// USD Leg
+    auto usdlibor3M = ext::make_shared<USDLibor>(Period(3, Months), USDProjectionCurve());
+	Leg usdLeg = IborLeg(schedule, usdlibor3M)
+					.withNotionals(leg1Nominal)
+					.withPaymentAdjustment(convention)
+					.withPaymentCalendar(payCalendar);
+	Date aDate = payCalendar.adjust(schedule.dates().front());
+	auto initialUSDNotionalExchange = ext::make_shared<SimpleCashFlow>(-leg1Nominal, aDate);
+	usdLeg.insert(usdLeg.begin(), initialUSDNotionalExchange);
+	auto finalUSDNotionalExchange = ext::make_shared<SimpleCashFlow>(leg1Nominal, usdLeg.back()->date());
+	usdLeg.push_back(finalUSDNotionalExchange);
+	
+	// GBP Leg
+    auto gbpLibor3M = ext::make_shared<GBPLibor>(Period(3, Months), GBPProjectionCurve());
+    Leg gbpLeg = IborLeg(schedule, gbpLibor3M)
+					.withNotionals(leg1Nominal * spotFx)
+					.withPaymentAdjustment(convention)
+					.withPaymentCalendar(payCalendar);
+	auto initialGBPNotionalExchange = ext::make_shared<SimpleCashFlow>(-leg1Nominal * spotFx, aDate);
+	gbpLeg.insert(gbpLeg.begin(), initialGBPNotionalExchange);
+	auto finalGBPNotionalExchange = ext::make_shared<SimpleCashFlow>(leg1Nominal * spotFx, gbpLeg.back()->date());
+	gbpLeg.push_back(finalGBPNotionalExchange);
+	
+	// Create swap
+	return ext::shared_ptr<CrossCcySwap> (new CrossCcySwap(
+		usdLeg, USDCurrency(), gbpLeg, GBPCurrency()));
+}
+
+
+BOOST_AUTO_TEST_CASE(testFixFixXCCYSwapPricing) {
+    BOOST_TEST_MESSAGE("Test Fix-Fix cross currency swap pricing against known results");
+
+    SavedSettings backup;
+    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+
+    // Create swap
+    Real USDNominal = 125'000'000;
+    Real spotFx = 1.22;
+    auto xccySwap = makeFixFixXCCYSwap(USDNominal, spotFx);
+
+    // Attach pricing engine
+	auto fxSpotQuote = makeQuoteHandle(1.0 / spotFx);
+    auto engine = ext::make_shared<CrossCcySwapEngine>(
+        USDCurrency(), USDDiscountCurve(), CHFCurrency(), CHFDiscountCurve(), fxSpotQuote);
+
+    xccySwap->setPricingEngine(engine);
+
+    // Check values
+    Real tolerance = 0.01;
+	Real expNpv = -21108172.67;
+	
+	CHECK_XCCY_SWAP_RESULT("NPV", xccySwap->NPV(), expNpv, tolerance);
+	
+	Real expPayLegNpv = -17892458.36;
+	Real expPayLegBps = -58317.61;
+	CHECK_XCCY_SWAP_RESULT("Leg 0 NPV", xccySwap->legNPV(0), expPayLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", xccySwap->legBPS(0), expPayLegBps, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", xccySwap->inCcyLegNPV(0), expPayLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", xccySwap->inCcyLegBPS(0), expPayLegBps, tolerance);
+
+	Real expRecLegNpv = -3215714.30;
+	Real expRecLegBps = 58542.62;
+	CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", xccySwap->legNPV(1), expRecLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", xccySwap->legBPS(1), expRecLegBps, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyNPV", xccySwap->inCcyLegNPV(1), expRecLegNpv * spotFx, tolerance * spotFx);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyBPS", xccySwap->inCcyLegBPS(1), expRecLegBps * spotFx, tolerance * spotFx);
+}
+
+BOOST_AUTO_TEST_CASE(testFloatFixXCCYSwapPricing) {
+    BOOST_TEST_MESSAGE("Test Float-Fix cross currency pricing against known results");
+
+    SavedSettings backup;
+    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+
+    // Create swap
+	Real USDNominal = 10'000'000;
+    Rate spotFx = 6.4304;
+    auto xccySwap = makeFixFloatXCCYSwap(USDNominal, spotFx);
+
+    // Attach pricing engine
+	auto fxSpotQuote = makeQuoteHandle(1.0 / spotFx);
+    auto engine = ext::make_shared<CrossCcySwapEngine>(
+        USDCurrency(), USDDiscountCurve(), TRYCurrency(), TRYDiscountCurve(), fxSpotQuote);
+    xccySwap->setPricingEngine(engine);
+
+    // Check values
+    Real tolerance = 0.01;
+
+	Real expNpv = 218961.99;
+    Real npv = xccySwap->NPV();
+	CHECK_XCCY_SWAP_RESULT("NPV", npv, expNpv, tolerance);
+
+	Real expPayLegNpv = 77054.99;
+	Real expPayLegBps = -2591.34;
+	CHECK_XCCY_SWAP_RESULT("Leg 0 NPV", xccySwap->legNPV(0), expPayLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", xccySwap->legBPS(0), expPayLegBps, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", xccySwap->inCcyLegNPV(0), expPayLegNpv  * spotFx, tolerance  * spotFx);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", xccySwap->inCcyLegBPS(0), expPayLegBps * spotFx, tolerance * spotFx);
+
+	Real expRecLegNpv = 141906.99;
+	Real expRecLegBps = 4730.19;
+	CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", xccySwap->legNPV(1), expRecLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", xccySwap->legBPS(1), expRecLegBps, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyNPV", xccySwap->inCcyLegNPV(1), expRecLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyBPS", xccySwap->inCcyLegBPS(1), expRecLegBps, tolerance);
+}
+
+BOOST_AUTO_TEST_CASE(testFloatFloatXCCYSwapPricing) {
+    BOOST_TEST_MESSAGE("Test Float-Float cross currency pricing against known results");
+
+    SavedSettings backup;
+    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+
+    // Create swap
+	Real USDNominal = 125'000'000;
+    Rate spotFx = 1.35;
+    auto xccySwap = makeFloatFloatXCCYSwap(USDNominal, spotFx);
+
+    // Attach pricing engine
+	auto fxSpotQuote = makeQuoteHandle(1.0 / spotFx);
+    auto engine = ext::make_shared<CrossCcySwapEngine>(
+        USDCurrency(), USDDiscountCurve(), GBPCurrency(), GBPDiscountCurve(), fxSpotQuote);
+
+    xccySwap->setPricingEngine(engine);
+
+    // Check values
+    Real tolerance = 0.01;
+
+    Real expNpv = 0.00;
+	CHECK_XCCY_SWAP_RESULT("NPV", xccySwap->NPV(), expNpv, tolerance);
+
+	Real expPayLegNpv = -1773829.64;
+	Real expPayLegBps = -59127.58;
+	CHECK_XCCY_SWAP_RESULT("Leg 0 NPV", xccySwap->legNPV(0), expPayLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", xccySwap->legBPS(0), expPayLegBps, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", xccySwap->inCcyLegNPV(0), expPayLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", xccySwap->inCcyLegBPS(0), expPayLegBps, tolerance);
+
+	Real expRecLegNpv = 1773829.64;
+	Real expRecLegBps = 58317.61;
+	CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", xccySwap->legNPV(1), expRecLegNpv, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", xccySwap->legBPS(1), expRecLegBps, tolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyNPV", xccySwap->inCcyLegNPV(1), expRecLegNpv * spotFx, tolerance * spotFx);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyBPS", xccySwap->inCcyLegBPS(1), expRecLegBps * spotFx, tolerance * spotFx);
+}
+
+BOOST_AUTO_TEST_SUITE_END()
+
+BOOST_AUTO_TEST_SUITE_END()
\ No newline at end of file
diff --git a/test-suite/testsuite.vcxproj b/test-suite/testsuite.vcxproj
index 01b89680660..f7358c16045 100644
--- a/test-suite/testsuite.vcxproj
+++ b/test-suite/testsuite.vcxproj
@@ -684,6 +684,7 @@
     <ClCompile Include="covariance.cpp" />
     <ClCompile Include="creditdefaultswap.cpp" />
     <ClCompile Include="creditriskplus.cpp" />
+    <ClCompile Include="crossccyswap.cpp" />
     <ClCompile Include="crosscurrencyratehelpers.cpp" />
     <ClCompile Include="currency.cpp" />
     <ClCompile Include="curvestates.cpp" />
diff --git a/test-suite/testsuite.vcxproj.filters b/test-suite/testsuite.vcxproj.filters
index 0befa6b4dec..f7b4e153960 100644
--- a/test-suite/testsuite.vcxproj.filters
+++ b/test-suite/testsuite.vcxproj.filters
@@ -501,6 +501,9 @@
     <ClCompile Include="basisswapratehelpers.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="crossccyswap.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="crosscurrencyratehelpers.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>

From 48e48aacf212c780c9cca7d96924584af2a24599 Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Fri, 13 Jun 2025 14:17:31 +0000
Subject: [PATCH 02/18] Update generated headers

---
 ql/instruments/all.hpp         | 1 +
 ql/pricingengines/swap/all.hpp | 1 +
 2 files changed, 2 insertions(+)

diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
index 044fd4197d5..1f4205def77 100644
--- a/ql/instruments/all.hpp
+++ b/ql/instruments/all.hpp
@@ -20,6 +20,7 @@
 #include <ql/instruments/cpicapfloor.hpp>
 #include <ql/instruments/cpiswap.hpp>
 #include <ql/instruments/creditdefaultswap.hpp>
+#include <ql/instruments/crossccyswap.hpp>
 #include <ql/instruments/dividendschedule.hpp>
 #include <ql/instruments/doublebarrieroption.hpp>
 #include <ql/instruments/doublebarriertype.hpp>
diff --git a/ql/pricingengines/swap/all.hpp b/ql/pricingengines/swap/all.hpp
index 3596dffe1f8..da6d7d9c2fd 100644
--- a/ql/pricingengines/swap/all.hpp
+++ b/ql/pricingengines/swap/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/pricingengines/swap/crossccyswapengine.hpp>
 #include <ql/pricingengines/swap/cvaswapengine.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/pricingengines/swap/discretizedswap.hpp>

From 373255666bd4a156d67940a6432e80988fe38f7b Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Sat, 14 Jun 2025 12:17:42 +0200
Subject: [PATCH 03/18] Update CrossCcySwap tests to account for
 usingAtParCoupons setting

---
 test-suite/crossccyswap.cpp | 10 ++++++----
 1 file changed, 6 insertions(+), 4 deletions(-)

diff --git a/test-suite/crossccyswap.cpp b/test-suite/crossccyswap.cpp
index 28ced5a11f9..9f586453ccc 100644
--- a/test-suite/crossccyswap.cpp
+++ b/test-suite/crossccyswap.cpp
@@ -620,6 +620,7 @@ BOOST_AUTO_TEST_CASE(testFloatFixXCCYSwapPricing) {
 
     SavedSettings backup;
     Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+    bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();
 
     // Create swap
 	Real USDNominal = 10'000'000;
@@ -635,7 +636,7 @@ BOOST_AUTO_TEST_CASE(testFloatFixXCCYSwapPricing) {
     // Check values
     Real tolerance = 0.01;
 
-	Real expNpv = 218961.99;
+	Real expNpv = usingAtParCoupons ? 218961.99 : 218981.99;
     Real npv = xccySwap->NPV();
 	CHECK_XCCY_SWAP_RESULT("NPV", npv, expNpv, tolerance);
 
@@ -646,7 +647,7 @@ BOOST_AUTO_TEST_CASE(testFloatFixXCCYSwapPricing) {
 	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", xccySwap->inCcyLegNPV(0), expPayLegNpv  * spotFx, tolerance  * spotFx);
 	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", xccySwap->inCcyLegBPS(0), expPayLegBps * spotFx, tolerance * spotFx);
 
-	Real expRecLegNpv = 141906.99;
+	Real expRecLegNpv = usingAtParCoupons ? 141906.99 : 141926.99;
 	Real expRecLegBps = 4730.19;
 	CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", xccySwap->legNPV(1), expRecLegNpv, tolerance);
 	CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", xccySwap->legBPS(1), expRecLegBps, tolerance);
@@ -659,6 +660,7 @@ BOOST_AUTO_TEST_CASE(testFloatFloatXCCYSwapPricing) {
 
     SavedSettings backup;
     Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+    bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();
 
     // Create swap
 	Real USDNominal = 125'000'000;
@@ -678,14 +680,14 @@ BOOST_AUTO_TEST_CASE(testFloatFloatXCCYSwapPricing) {
     Real expNpv = 0.00;
 	CHECK_XCCY_SWAP_RESULT("NPV", xccySwap->NPV(), expNpv, tolerance);
 
-	Real expPayLegNpv = -1773829.64;
+	Real expPayLegNpv = usingAtParCoupons ? -1773829.64 : -1773772.22;
 	Real expPayLegBps = -59127.58;
 	CHECK_XCCY_SWAP_RESULT("Leg 0 NPV", xccySwap->legNPV(0), expPayLegNpv, tolerance);
 	CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", xccySwap->legBPS(0), expPayLegBps, tolerance);
 	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", xccySwap->inCcyLegNPV(0), expPayLegNpv, tolerance);
 	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", xccySwap->inCcyLegBPS(0), expPayLegBps, tolerance);
 
-	Real expRecLegNpv = 1773829.64;
+	Real expRecLegNpv = usingAtParCoupons ? 1773829.64 : 1773772.22;
 	Real expRecLegBps = 58317.61;
 	CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", xccySwap->legNPV(1), expRecLegNpv, tolerance);
 	CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", xccySwap->legBPS(1), expRecLegBps, tolerance);

From a88020166ec75e5f65d514364cc9ed42059517ce Mon Sep 17 00:00:00 2001
From: Paolo D'Elia <paolo.delia99@gmail.com>
Date: Mon, 16 Jun 2025 14:00:06 +0200
Subject: [PATCH 04/18] Added missing imports in crossccyswapengine.hpp

---
 ql/pricingengines/swap/crossccyswapengine.hpp | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

diff --git a/ql/pricingengines/swap/crossccyswapengine.hpp b/ql/pricingengines/swap/crossccyswapengine.hpp
index 258312224ce..a5cf0faf34a 100644
--- a/ql/pricingengines/swap/crossccyswapengine.hpp
+++ b/ql/pricingengines/swap/crossccyswapengine.hpp
@@ -27,9 +27,10 @@
 #ifndef quantlib_cross_ccy_swap_engine_hpp
 #define quantlib_cross_ccy_swap_engine_hpp
 
-#include <ql/termstructures/yieldtermstructure.hpp>
-
+#include <ql/handle.hpp>
 #include <ql/instruments/crossccyswap.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/optional.hpp>
 
 namespace QuantLib {
 

From 5884906557a37af881a8a650c1b87a7e5772b4b1 Mon Sep 17 00:00:00 2001
From: Paolo D'Elia <paolo.delia99@gmail.com>
Date: Mon, 16 Jun 2025 14:37:24 +0200
Subject: [PATCH 05/18] Fix tag typo in QuantLib.vcxproj

---
 QuantLib.vcxproj | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
index 05daab44233..e2604363a8d 100644
--- a/QuantLib.vcxproj
+++ b/QuantLib.vcxproj
@@ -2638,7 +2638,7 @@
     <ClCompile Include="ql\pricingengines\lookback\analyticcontinuouspartialfixedlookback.cpp" />
     <ClCompile Include="ql\pricingengines\lookback\analyticcontinuouspartialfloatinglookback.cpp" />
     <ClCompile Include="ql\pricingengines\lookback\mclookbackengine.cpp" />
-    <ClInclude Include="ql\pricingengines\swap\crossccyswapengine.cpp" />
+    <ClCompile Include="ql\pricingengines\swap\crossccyswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\cvaswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\discountingswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\discretizedswap.cpp" />

From 2d8185cad835f601847b960ce76f153ba90ee88f Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Mon, 16 Jun 2025 18:55:50 +0200
Subject: [PATCH 06/18] Refactor xccy tests file

---
 test-suite/crossccyswap.cpp | 122 +++++++++++++++++-------------------
 1 file changed, 59 insertions(+), 63 deletions(-)

diff --git a/test-suite/crossccyswap.cpp b/test-suite/crossccyswap.cpp
index 9f586453ccc..9fd25dd41e5 100644
--- a/test-suite/crossccyswap.cpp
+++ b/test-suite/crossccyswap.cpp
@@ -47,6 +47,26 @@ BOOST_AUTO_TEST_SUITE(CrossCcySwapTests)
     }
 
 // Data for the tests
+struct CommonVars {
+    Date today, startDate, endDate;
+    Calendar payCalendar;
+    DateGeneration::Rule rule;
+    BusinessDayConvention convention;
+    bool endOfMonth;
+    DayCounter dc;
+
+    CommonVars(Calendar c, BusinessDayConvention conv, DateGeneration::Rule r) {
+        payCalendar = c;
+        today = Date(11, Sep, 2018);
+        Settings::instance().evaluationDate() = today;
+        startDate = payCalendar.advance(today, Period(2, Days));
+        endDate = payCalendar.advance(today, Period(5, Years));
+        rule = r;
+        convention = conv;
+        endOfMonth = false;
+        dc = Actual365Fixed();
+    }
+};
 
 Handle<YieldTermStructure> CHFDiscountCurve() {
     std::vector<Date> dates(27);
@@ -412,23 +432,17 @@ Handle<YieldTermStructure> TRYDiscountCurve() {
 ext::shared_ptr<CrossCcySwap> makeFixFixXCCYSwap(Real leg1Nominal, Rate spotFx) {
 	Calendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), Switzerland());
 	
-	Date referenceDate = payCalendar.adjust(Settings::instance().evaluationDate());
-    Date start_date = payCalendar.advance(referenceDate, Period(2, Days));
-    Date end_date = payCalendar.advance(referenceDate, Period(5, Years));
-    DateGeneration::Rule rule = DateGeneration::Forward;
-    BusinessDayConvention convention = Following;
-    bool end_of_month = false;
-    DayCounter dc = Actual365Fixed();
+    CommonVars vars(payCalendar, Following, DateGeneration::Forward);
 
     Schedule schedule(
-        start_date,
-        end_date,
+        vars.startDate,
+        vars.endDate,
         Period(3, Months),
         payCalendar,
-        convention,
-        convention,
-        rule,
-        end_of_month
+        vars.convention,
+        vars.convention,
+        vars.rule,
+        vars.endOfMonth
     );
 
 	Rate usdRate = 0.0575;
@@ -437,10 +451,10 @@ ext::shared_ptr<CrossCcySwap> makeFixFixXCCYSwap(Real leg1Nominal, Rate spotFx)
 	// USD Leg
     Leg usdLeg = FixedRateLeg(schedule)
                        .withNotionals(leg1Nominal)
-                       .withCouponRates(usdRate, dc)
-                       .withPaymentAdjustment(convention)
-                       .withPaymentCalendar(payCalendar);
-	Date aDate = payCalendar.adjust(schedule.dates().front(), convention);
+                       .withCouponRates(usdRate, vars.dc)
+                       .withPaymentAdjustment(vars.convention)
+                       .withPaymentCalendar(vars.payCalendar);
+	Date aDate = payCalendar.adjust(schedule.dates().front(), vars.convention);
     auto initialCapitalFlow = ext::make_shared<SimpleCashFlow>(-leg1Nominal, aDate);
     auto finalCapitalFlow = ext::make_shared<SimpleCashFlow>(leg1Nominal, usdLeg.back()->date());
 	usdLeg.insert(usdLeg.begin(), initialCapitalFlow);
@@ -449,9 +463,9 @@ ext::shared_ptr<CrossCcySwap> makeFixFixXCCYSwap(Real leg1Nominal, Rate spotFx)
 	// CHF Leg
     Leg chfLeg = FixedRateLeg(schedule)
                         .withNotionals(leg1Nominal * spotFx)
-                        .withCouponRates(chfRate, dc)
-                        .withPaymentAdjustment(convention)
-                        .withPaymentCalendar(payCalendar);
+                        .withCouponRates(chfRate, vars.dc)
+                        .withPaymentAdjustment(vars.convention)
+                        .withPaymentCalendar(vars.payCalendar);
     auto initialCHFCapitalFlow = ext::make_shared<SimpleCashFlow>(-leg1Nominal * spotFx, aDate);
     auto finalCHFCapitalFlow = ext::make_shared<SimpleCashFlow>(leg1Nominal * spotFx, chfLeg.back()->date());
 	chfLeg.insert(chfLeg.begin(), initialCHFCapitalFlow);
@@ -465,45 +479,39 @@ ext::shared_ptr<CrossCcySwap> makeFixFixXCCYSwap(Real leg1Nominal, Rate spotFx)
 ext::shared_ptr<CrossCcySwap> makeFixFloatXCCYSwap(Real leg1Nominal, Rate spotFx) {
 	Calendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), UnitedKingdom(), Turkey());
 	
-	Date referenceDate = payCalendar.adjust(Settings::instance().evaluationDate());
-    Date start_date = payCalendar.advance(referenceDate, Period(2, Days));
-    Date end_date = payCalendar.advance(referenceDate, Period(5, Years));
-    DateGeneration::Rule rule = DateGeneration::Backward;
-    BusinessDayConvention convention = ModifiedFollowing;
+    CommonVars vars(payCalendar, ModifiedFollowing, DateGeneration::Backward);
     BusinessDayConvention payConvention = Following;
-    bool end_of_month = false;
-    DayCounter dc = Actual365Fixed();
 
     Schedule floatSchedule(
-        start_date,
-        end_date,
+        vars.startDate,
+        vars.endDate,
         Period(3, Months),
         payCalendar,
-        convention,
-        convention,
-        rule,
-        end_of_month
+        vars.convention,
+        vars.convention,
+        vars.rule,
+        vars.endOfMonth
     );
 	
 	Schedule fixSchedule(
-        start_date,
-        end_date,
+        vars.startDate,
+        vars.endDate,
         Period(1, Years),
         payCalendar,
-        convention,
-        convention,
-        rule,
-        end_of_month
+        vars.convention,
+        vars.convention,
+        vars.rule,
+        vars.endOfMonth
     );
 
 	// TRY Leg
 	Rate tryRate = 0.249;
 	Leg tryLeg = FixedRateLeg(fixSchedule)
                     .withNotionals(leg1Nominal * spotFx)
-                    .withCouponRates(tryRate, dc)
+                    .withCouponRates(tryRate, vars.dc)
                     .withPaymentAdjustment(payConvention)
                     .withPaymentCalendar(payCalendar);
-	Date aDate = payCalendar.adjust(fixSchedule.dates().front(), convention);
+	Date aDate = payCalendar.adjust(fixSchedule.dates().front(), vars.convention);
     auto initialTRYCapitalFlow = ext::make_shared<SimpleCashFlow>(-leg1Nominal * spotFx, aDate);
     auto finalTRYCapitalFlow = ext::make_shared<SimpleCashFlow>(leg1Nominal * spotFx, tryLeg.back()->date());
 	tryLeg.insert(tryLeg.begin(), initialTRYCapitalFlow);
@@ -515,7 +523,7 @@ ext::shared_ptr<CrossCcySwap> makeFixFloatXCCYSwap(Real leg1Nominal, Rate spotFx
 				.withNotionals(leg1Nominal)
 				.withPaymentAdjustment(payConvention)
                 .withPaymentCalendar(payCalendar);
-	aDate = payCalendar.adjust(floatSchedule.dates().front(), convention);
+	aDate = payCalendar.adjust(floatSchedule.dates().front(), vars.convention);
     auto initialUSDNotionalExchange = ext::make_shared<SimpleCashFlow>(-leg1Nominal, aDate);
 	usdLeg.insert(usdLeg.begin(), initialUSDNotionalExchange);
 	auto finalUSDNotionalExchange = ext::make_shared<SimpleCashFlow>(leg1Nominal, usdLeg.back()->date());
@@ -529,29 +537,24 @@ ext::shared_ptr<CrossCcySwap> makeFixFloatXCCYSwap(Real leg1Nominal, Rate spotFx
 ext::shared_ptr<CrossCcySwap> makeFloatFloatXCCYSwap(Real leg1Nominal, Rate spotFx) {
 	Calendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), UnitedKingdom());
 	
-	Date referenceDate = payCalendar.adjust(Settings::instance().evaluationDate());
-    Date start_date = payCalendar.advance(referenceDate, Period(2, Days));
-    Date end_date = payCalendar.advance(referenceDate, Period(5, Years));
-    DateGeneration::Rule rule = DateGeneration::Forward;
-    BusinessDayConvention convention = Following;
-    bool end_of_month = false;
+    CommonVars vars(payCalendar, Following, DateGeneration::Forward);
 
     Schedule schedule(
-        start_date,
-        end_date,
+        vars.startDate,
+        vars.endDate,
         Period(3, Months),
         payCalendar,
-        convention,
-        convention,
-        rule,
-        end_of_month
+        vars.convention,
+        vars.convention,
+        vars.rule,
+        vars.endOfMonth
     );
 
 	// USD Leg
     auto usdlibor3M = ext::make_shared<USDLibor>(Period(3, Months), USDProjectionCurve());
 	Leg usdLeg = IborLeg(schedule, usdlibor3M)
 					.withNotionals(leg1Nominal)
-					.withPaymentAdjustment(convention)
+					.withPaymentAdjustment(vars.convention)
 					.withPaymentCalendar(payCalendar);
 	Date aDate = payCalendar.adjust(schedule.dates().front());
 	auto initialUSDNotionalExchange = ext::make_shared<SimpleCashFlow>(-leg1Nominal, aDate);
@@ -563,7 +566,7 @@ ext::shared_ptr<CrossCcySwap> makeFloatFloatXCCYSwap(Real leg1Nominal, Rate spot
     auto gbpLibor3M = ext::make_shared<GBPLibor>(Period(3, Months), GBPProjectionCurve());
     Leg gbpLeg = IborLeg(schedule, gbpLibor3M)
 					.withNotionals(leg1Nominal * spotFx)
-					.withPaymentAdjustment(convention)
+					.withPaymentAdjustment(vars.convention)
 					.withPaymentCalendar(payCalendar);
 	auto initialGBPNotionalExchange = ext::make_shared<SimpleCashFlow>(-leg1Nominal * spotFx, aDate);
 	gbpLeg.insert(gbpLeg.begin(), initialGBPNotionalExchange);
@@ -579,9 +582,6 @@ ext::shared_ptr<CrossCcySwap> makeFloatFloatXCCYSwap(Real leg1Nominal, Rate spot
 BOOST_AUTO_TEST_CASE(testFixFixXCCYSwapPricing) {
     BOOST_TEST_MESSAGE("Test Fix-Fix cross currency swap pricing against known results");
 
-    SavedSettings backup;
-    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
-
     // Create swap
     Real USDNominal = 125'000'000;
     Real spotFx = 1.22;
@@ -618,8 +618,6 @@ BOOST_AUTO_TEST_CASE(testFixFixXCCYSwapPricing) {
 BOOST_AUTO_TEST_CASE(testFloatFixXCCYSwapPricing) {
     BOOST_TEST_MESSAGE("Test Float-Fix cross currency pricing against known results");
 
-    SavedSettings backup;
-    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
     bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();
 
     // Create swap
@@ -658,8 +656,6 @@ BOOST_AUTO_TEST_CASE(testFloatFixXCCYSwapPricing) {
 BOOST_AUTO_TEST_CASE(testFloatFloatXCCYSwapPricing) {
     BOOST_TEST_MESSAGE("Test Float-Float cross currency pricing against known results");
 
-    SavedSettings backup;
-    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
     bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();
 
     // Create swap

From 63f267fff09df93f4f737ccf393f92fcfb28fdaa Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Mon, 16 Jun 2025 19:07:18 +0200
Subject: [PATCH 07/18] Add crossccyfixfloatswap

---
 QuantLib.vcxproj                        |   2 +
 QuantLib.vcxproj.filters                |   6 +
 ql/CMakeLists.txt                       |   2 +
 ql/instruments/Makefile.am              |   2 +
 ql/instruments/crossccyfixfloatswap.cpp | 159 +++++++++++++
 ql/instruments/crossccyfixfloatswap.hpp | 151 ++++++++++++
 test-suite/CMakeLists.txt               |   1 +
 test-suite/Makefile.am                  |   1 +
 test-suite/crossccyfixfloatswap.cpp     | 300 ++++++++++++++++++++++++
 test-suite/testsuite.vcxproj            |   1 +
 test-suite/testsuite.vcxproj.filters    |   3 +
 11 files changed, 628 insertions(+)
 create mode 100644 ql/instruments/crossccyfixfloatswap.cpp
 create mode 100644 ql/instruments/crossccyfixfloatswap.hpp
 create mode 100644 test-suite/crossccyfixfloatswap.cpp

diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
index e2604363a8d..989f08e2322 100644
--- a/QuantLib.vcxproj
+++ b/QuantLib.vcxproj
@@ -912,6 +912,7 @@
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
     <ClInclude Include="ql\instruments\cpiswap.hpp" />
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp" />
+    <ClInclude Include="ql\instruments\crossccyfixfloatswap.hpp" />
     <ClInclude Include="ql\instruments\crossccyswap.hpp" />
     <ClInclude Include="ql\instruments\dividendbarrieroption.hpp" />
     <ClInclude Include="ql\instruments\dividendschedule.hpp" />
@@ -2189,6 +2190,7 @@
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
     <ClCompile Include="ql\instruments\cpiswap.cpp" />
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp" />
+    <ClCompile Include="ql\instruments\crossccyfixfloatswap.cpp" />
     <ClCompile Include="ql\instruments\crossccyswap.cpp" />
     <ClCompile Include="ql\instruments\doublebarrieroption.cpp" />
     <ClCompile Include="ql\instruments\doublebarriertype.cpp" />
diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
index 86da7f1dcc5..f555f51f79a 100644
--- a/QuantLib.vcxproj.filters
+++ b/QuantLib.vcxproj.filters
@@ -822,6 +822,9 @@
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\crossccyfixfloatswap.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\crossccyswap.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -4751,6 +4754,9 @@
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\crossccyfixfloatswap.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\crossccyswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
index 048a0c48d56..0fd56725288 100644
--- a/ql/CMakeLists.txt
+++ b/ql/CMakeLists.txt
@@ -271,6 +271,7 @@ set(QL_SOURCES
     instruments/cpicapfloor.cpp
     instruments/cpiswap.cpp
     instruments/creditdefaultswap.cpp
+    instruments/crossccyfixfloatswap.cpp
     instruments/crossccyswap.cpp
     instruments/doublebarrieroption.cpp
     instruments/doublebarriertype.cpp
@@ -1338,6 +1339,7 @@ set(QL_HEADERS
     instruments/cpicapfloor.hpp
     instruments/cpiswap.hpp
     instruments/creditdefaultswap.hpp
+    instruments/crossccyfixfloatswap.hpp
     instruments/crossccyswap.hpp
     instruments/dividendbarrieroption.hpp
     instruments/dividendschedule.hpp
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index bc2d4062085..add73d8a074 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -25,6 +25,7 @@ this_include_HEADERS = \
     cpicapfloor.hpp \
     cpiswap.hpp \
     creditdefaultswap.hpp \
+    crossccyfixfloatswap.hpp \
     crossccyswap.hpp \
     dividendbarrieroption.hpp \
     dividendschedule.hpp \
@@ -101,6 +102,7 @@ cpp_files = \
     cpicapfloor.cpp \
     cpiswap.cpp \
     creditdefaultswap.cpp \
+    crossccyfixfloatswap.cpp \
     crossccyswap.cpp \
     doublebarrieroption.cpp \
     doublebarriertype.cpp \
diff --git a/ql/instruments/crossccyfixfloatswap.cpp b/ql/instruments/crossccyfixfloatswap.cpp
new file mode 100644
index 00000000000..0dbc6a8c12d
--- /dev/null
+++ b/ql/instruments/crossccyfixfloatswap.cpp
@@ -0,0 +1,159 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2016 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/instruments/crossccyfixfloatswap.hpp>
+#include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/cashflows/iborcoupon.hpp>
+#include <ql/cashflows/simplecashflow.hpp>
+
+namespace QuantLib {
+
+CrossCcyFixFloatSwap::CrossCcyFixFloatSwap(
+    Type type, Real fixedNominal, const Currency& fixedCurrency, const Schedule& fixedSchedule, Rate fixedRate,
+    const DayCounter& fixedDayCount, BusinessDayConvention fixedPaymentBdc, Natural fixedPaymentLag,
+    const Calendar& fixedPaymentCalendar, Real floatNominal, const Currency& floatCurrency,
+    const Schedule& floatSchedule, const ext::shared_ptr<IborIndex>& floatIndex, Spread floatSpread,
+    BusinessDayConvention floatPaymentBdc, Natural floatPaymentLag, const Calendar& floatPaymentCalendar)
+    : CrossCcySwap(2), type_(type), fixedNominal_(fixedNominal), fixedCurrency_(fixedCurrency),
+      fixedSchedule_(fixedSchedule), fixedRate_(fixedRate), fixedDayCount_(fixedDayCount),
+      fixedPaymentBdc_(fixedPaymentBdc), fixedPaymentLag_(fixedPaymentLag), fixedPaymentCalendar_(fixedPaymentCalendar),
+      floatNominal_(floatNominal), floatCurrency_(floatCurrency), floatSchedule_(floatSchedule),
+      floatIndex_(floatIndex), floatSpread_(floatSpread), floatPaymentBdc_(floatPaymentBdc),
+      floatPaymentLag_(floatPaymentLag), floatPaymentCalendar_(floatPaymentCalendar) {
+
+    // Build the float leg
+    Leg floatLeg = IborLeg(floatSchedule_, floatIndex_)
+                       .withNotionals(floatNominal_)
+                       .withSpreads(floatSpread_)
+                       .withPaymentAdjustment(floatPaymentBdc_)
+                       .withPaymentLag(floatPaymentLag_)
+                       .withPaymentCalendar(floatPaymentCalendar_);
+
+    // Register with each floating rate coupon
+    for (Leg::const_iterator it = floatLeg.begin(); it < floatLeg.end(); ++it)
+        registerWith(*it);
+
+    // Initial notional exchange
+    Date aDate = floatSchedule_.dates().front();
+    aDate = floatPaymentCalendar_.adjust(aDate, floatPaymentBdc_);
+    ext::shared_ptr<CashFlow> aCashflow = ext::make_shared<SimpleCashFlow>(-floatNominal_, aDate);
+    floatLeg.insert(floatLeg.begin(), aCashflow);
+
+    // Final notional exchange
+    aDate = floatLeg.back()->date();
+    aCashflow = ext::make_shared<SimpleCashFlow>(floatNominal_, aDate);
+    floatLeg.push_back(aCashflow);
+
+    // Build the fixed rate leg
+    Leg fixedLeg = FixedRateLeg(fixedSchedule_)
+                       .withNotionals(fixedNominal_)
+                       .withCouponRates(fixedRate_, fixedDayCount_)
+                       .withPaymentAdjustment(fixedPaymentBdc_)
+                       .withPaymentLag(fixedPaymentLag)
+                       .withPaymentCalendar(fixedPaymentCalendar);
+
+    // Initial notional exchange
+    aDate = fixedSchedule_.dates().front();
+    aDate = fixedPaymentCalendar_.adjust(aDate, fixedPaymentBdc_);
+    aCashflow = ext::make_shared<SimpleCashFlow>(-fixedNominal_, aDate);
+    fixedLeg.insert(fixedLeg.begin(), aCashflow);
+
+    // Final notional exchange
+    aDate = fixedLeg.back()->date();
+    aCashflow = ext::make_shared<SimpleCashFlow>(fixedNominal_, aDate);
+    fixedLeg.push_back(aCashflow);
+
+    // Deriving from cross currency swap where:
+    //   First leg should hold the pay flows
+    //   Second leg should hold the receive flows
+    payer_[0] = -1.0;
+    payer_[1] = 1.0;
+    switch (type_) {
+    case Payer:
+        legs_[0] = fixedLeg;
+        currencies_[0] = fixedCurrency_;
+        legs_[1] = floatLeg;
+        currencies_[1] = floatCurrency_;
+        break;
+    case Receiver:
+        legs_[1] = fixedLeg;
+        currencies_[1] = fixedCurrency_;
+        legs_[0] = floatLeg;
+        currencies_[0] = floatCurrency_;
+        break;
+    default:
+        QL_FAIL("Unknown cross currency fix float swap type");
+    }
+}
+
+void CrossCcyFixFloatSwap::setupArguments(PricingEngine::arguments* a) const {
+    CrossCcySwap::setupArguments(a);
+    if (CrossCcyFixFloatSwap::arguments* args = dynamic_cast<CrossCcyFixFloatSwap::arguments*>(a)) {
+        args->fixedRate = fixedRate_;
+        args->spread = floatSpread_;
+    }
+}
+
+void CrossCcyFixFloatSwap::fetchResults(const PricingEngine::results* r) const {
+
+    CrossCcySwap::fetchResults(r);
+
+    // Depending on the pricing engine used, we may have CrossCcyFixFloatSwap::results
+    if (const CrossCcyFixFloatSwap::results* res = dynamic_cast<const CrossCcyFixFloatSwap::results*>(r)) {
+        // If we have CrossCcyFixFloatSwap::results from the pricing engine
+        fairFixedRate_ = res->fairFixedRate;
+        fairSpread_ = res->fairSpread;
+    } else {
+        // If not, set them to Null to indicate a calculation is needed below
+        fairFixedRate_ = Null<Rate>();
+        fairSpread_ = Null<Spread>();
+    }
+
+    // Calculate fair rate and spread if they are still Null here
+    static Spread basisPoint = 1.0e-4;
+
+    Size idxFixed = type_ == Payer ? 0 : 1;
+    if (fairFixedRate_ == Null<Rate>() && legBPS_[idxFixed] != Null<Real>())
+        fairFixedRate_ = fixedRate_ - NPV_ / (legBPS_[idxFixed] / basisPoint);
+
+    Size idxFloat = type_ == Payer ? 1 : 0;
+    if (fairSpread_ == Null<Spread>() && legBPS_[idxFloat] != Null<Real>())
+        fairSpread_ = floatSpread_ - NPV_ / (legBPS_[idxFloat] / basisPoint);
+}
+
+void CrossCcyFixFloatSwap::setupExpired() const {
+    CrossCcySwap::setupExpired();
+    fairFixedRate_ = Null<Rate>();
+    fairSpread_ = Null<Spread>();
+}
+
+void CrossCcyFixFloatSwap::arguments::validate() const {
+    CrossCcySwap::arguments::validate();
+    QL_REQUIRE(fixedRate != Null<Rate>(), "Fixed rate cannot be null");
+    QL_REQUIRE(spread != Null<Spread>(), "Spread cannot be null");
+}
+
+void CrossCcyFixFloatSwap::results::reset() {
+    CrossCcySwap::results::reset();
+    fairFixedRate = Null<Rate>();
+    fairSpread = Null<Spread>();
+}
+
+} // namespace QuantLib
diff --git a/ql/instruments/crossccyfixfloatswap.hpp b/ql/instruments/crossccyfixfloatswap.hpp
new file mode 100644
index 00000000000..e909c6a5c8c
--- /dev/null
+++ b/ql/instruments/crossccyfixfloatswap.hpp
@@ -0,0 +1,151 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2018 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file qle/instruments/crossccyfixfloatswap.hpp
+    \brief Cross currency fixed vs float swap instrument
+    \ingroup instruments
+*/
+
+#ifndef quantlib_cross_ccy_fix_float_swap_hpp
+#define quantlib_cross_ccy_fix_float_swap_hpp
+
+#include <ql/indexes/iborindex.hpp>
+#include <ql/time/schedule.hpp>
+#include <ql/instruments/crossccyswap.hpp>
+
+namespace QuantLib {
+
+/*! Cross currency fixed vs float swap
+    \ingroup instruments
+*/
+class CrossCcyFixFloatSwap : public CrossCcySwap {
+public:
+    enum Type { Receiver = -1, Payer = 1 };
+    class arguments;
+    class results;
+
+    //! \name Constructors
+    //@{
+    //! Detailed constructor
+    CrossCcyFixFloatSwap(Type type, Real fixedNominal, const Currency& fixedCurrency,
+                         const Schedule& fixedSchedule, Rate fixedRate,
+                         const DayCounter& fixedDayCount, BusinessDayConvention fixedPaymentBdc,
+                         Natural fixedPaymentLag, const Calendar& fixedPaymentCalendar,
+                         Real floatNominal, const Currency& floatCurrency,
+                         const Schedule& floatSchedule,
+                         const ext::shared_ptr<IborIndex>& floatIndex, Spread floatSpread,
+                         BusinessDayConvention floatPaymentBdc, Natural floatPaymentLag,
+                         const Calendar& floatPaymentCalendar);
+    //@}
+
+    //! \name Instrument interface
+    //@{
+    void setupArguments(PricingEngine::arguments* a) const override;
+    void fetchResults(const PricingEngine::results* r) const override;
+    //@}
+
+    //! \name Inspectors
+    //@{
+    Type type() const { return type_; }
+
+    Real fixedNominal() const { return fixedNominal_; }
+    const Currency& fixedCurrency() const { return fixedCurrency_; }
+    const Schedule& fixedSchedule() const { return fixedSchedule_; }
+    Rate fixedRate() const { return fixedRate_; }
+    const DayCounter& fixedDayCount() const { return fixedDayCount_; }
+    BusinessDayConvention fixedPaymentBdc() const { return fixedPaymentBdc_; }
+    Natural fixedPaymentLag() const { return fixedPaymentLag_; }
+    const Calendar& fixedPaymentCalendar() const { return fixedPaymentCalendar_; }
+
+    Real floatNominal() const { return floatNominal_; }
+    const Currency& floatCurrency() const { return floatCurrency_; }
+    const Schedule& floatSchedule() const { return floatSchedule_; }
+    const ext::shared_ptr<IborIndex>& floatIndex() const { return floatIndex_; }
+    Rate floatSpread() const { return floatSpread_; }
+    BusinessDayConvention floatPaymentBdc() const { return floatPaymentBdc_; }
+    Natural floatPaymentLag() const { return floatPaymentLag_; }
+    const Calendar& floatPaymentCalendar() const { return floatPaymentCalendar_; }
+    //@}
+
+    //! \name Additional interface
+    //@{
+    Rate fairFixedRate() const {
+        calculate();
+        QL_REQUIRE(fairFixedRate_ != Null<Real>(), "Fair fixed rate is not available");
+        return fairFixedRate_;
+    }
+
+    Spread fairSpread() const {
+        calculate();
+        QL_REQUIRE(fairSpread_ != Null<Real>(), "Fair spread is not available");
+        return fairSpread_;
+    }
+    //@}
+
+protected:
+    //! \name Instrument interface
+    //@{
+    void setupExpired() const override;
+    //@}
+
+private:
+    Type type_;
+
+    Real fixedNominal_;
+    Currency fixedCurrency_;
+    Schedule fixedSchedule_;
+    Rate fixedRate_;
+    DayCounter fixedDayCount_;
+    BusinessDayConvention fixedPaymentBdc_;
+    Natural fixedPaymentLag_;
+    Calendar fixedPaymentCalendar_;
+
+    Real floatNominal_;
+    Currency floatCurrency_;
+    Schedule floatSchedule_;
+    ext::shared_ptr<IborIndex> floatIndex_;
+    Spread floatSpread_;
+    BusinessDayConvention floatPaymentBdc_;
+    Natural floatPaymentLag_;
+    Calendar floatPaymentCalendar_;
+
+    mutable Rate fairFixedRate_;
+    mutable Spread fairSpread_;
+};
+
+//! \ingroup instruments
+class CrossCcyFixFloatSwap::arguments : public CrossCcySwap::arguments {
+public:
+    Rate fixedRate;
+    Spread spread;
+    void validate() const override;
+};
+
+//! \ingroup instruments
+class CrossCcyFixFloatSwap::results : public CrossCcySwap::results {
+public:
+    Rate fairFixedRate;
+    Spread fairSpread;
+    void reset() override;
+};
+
+} // namespace QuantLib
+
+#endif
diff --git a/test-suite/CMakeLists.txt b/test-suite/CMakeLists.txt
index 372ab2d5422..bf9ef1d4279 100644
--- a/test-suite/CMakeLists.txt
+++ b/test-suite/CMakeLists.txt
@@ -39,6 +39,7 @@ set(QL_TEST_SOURCES
     covariance.cpp
     creditdefaultswap.cpp
     creditriskplus.cpp
+    crossccyfixfloatswap.cpp
     crossccyswap.cpp
     crosscurrencyratehelpers.cpp
     currency.cpp
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index 9c1643fde93..f2852bad5ea 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -40,6 +40,7 @@ QL_TEST_SRCS = \
 	covariance.cpp \
 	creditdefaultswap.cpp \
 	creditriskplus.cpp \
+	crossccyfixfloatswap.cpp \
 	crossccyswap.cpp \
 	crosscurrencyratehelpers.cpp \
 	currency.cpp \
diff --git a/test-suite/crossccyfixfloatswap.cpp b/test-suite/crossccyfixfloatswap.cpp
new file mode 100644
index 00000000000..d3942dd8470
--- /dev/null
+++ b/test-suite/crossccyfixfloatswap.cpp
@@ -0,0 +1,300 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2018 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "toplevelfixture.hpp"
+#include <boost/make_shared.hpp>
+#include <boost/test/unit_test.hpp>
+#include <ql/currencies/all.hpp>
+#include <ql/indexes/ibor/usdlibor.hpp>
+#include <ql/quotes/simplequote.hpp>
+#include <ql/termstructures/yield/discountcurve.hpp>
+#include <ql/time/calendars/all.hpp>
+#include <ql/time/daycounters/actual360.hpp>
+#include <ql/types.hpp>
+#include <ql/instruments/crossccyfixfloatswap.hpp>
+#include <ql/pricingengines/swap/crossccyswapengine.hpp>
+
+using namespace std;
+using namespace boost::unit_test_framework;
+using namespace QuantLib;
+
+BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
+
+BOOST_AUTO_TEST_SUITE(CrossCurrencyFixFloatSwapTest)
+
+#define CHECK_XCCY_SWAP_RESULT(what, calculated, expected, tolerance)   \
+    if (std::fabs(calculated-expected) > tolerance) { \
+        BOOST_ERROR("Failed to reproduce " what ":" \
+                    << "\n    expected:   " << std::setprecision(12) << expected \
+                    << "\n    calculated: " << std::setprecision(12) << calculated \
+                    << "\n    error:      " << std::setprecision(12) << std::fabs(calculated-expected)); \
+    }
+
+Handle<YieldTermStructure> usdDiscountCurve() {
+
+    vector<Date> dates(27);
+    vector<DiscountFactor> dfs(27);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(14, Sep, 2018);
+    dfs[1] = 0.99994666951096;
+    dates[2] = Date(20, Sep, 2018);
+    dfs[2] = 0.999627719221066;
+    dates[3] = Date(27, Sep, 2018);
+    dfs[3] = 0.999254084816959;
+    dates[4] = Date(04, Oct, 2018);
+    dfs[4] = 0.998837020905631;
+    dates[5] = Date(15, Oct, 2018);
+    dfs[5] = 0.998176132423265;
+    dates[6] = Date(13, Nov, 2018);
+    dfs[6] = 0.99644587210048;
+    dates[7] = Date(13, Dec, 2018);
+    dfs[7] = 0.994644668243218;
+    dates[8] = Date(14, Jan, 2019);
+    dfs[8] = 0.992596634984033;
+    dates[9] = Date(13, Feb, 2019);
+    dfs[9] = 0.990636503861861;
+    dates[10] = Date(13, Mar, 2019);
+    dfs[10] = 0.988809127958345;
+    dates[11] = Date(13, Jun, 2019);
+    dfs[11] = 0.982417991680868;
+    dates[12] = Date(13, Sep, 2019);
+    dfs[12] = 0.975723193871552;
+    dates[13] = Date(13, Mar, 2020);
+    dfs[13] = 0.96219213956104;
+    dates[14] = Date(14, Sep, 2020);
+    dfs[14] = 0.948588232418325;
+    dates[15] = Date(13, Sep, 2021);
+    dfs[15] = 0.92279636773464;
+    dates[16] = Date(13, Sep, 2022);
+    dfs[16] = 0.898345201557914;
+    dates[17] = Date(13, Sep, 2023);
+    dfs[17] = 0.874715322269088;
+    dates[18] = Date(15, Sep, 2025);
+    dfs[18] = 0.828658611114833;
+    dates[19] = Date(13, Sep, 2028);
+    dfs[19] = 0.763030152740947;
+    dates[20] = Date(13, Sep, 2030);
+    dfs[20] = 0.722238847877756;
+    dates[21] = Date(13, Sep, 2033);
+    dfs[21] = 0.664460629674362;
+    dates[22] = Date(13, Sep, 2038);
+    dfs[22] = 0.580288693473926;
+    dates[23] = Date(14, Sep, 2043);
+    dfs[23] = 0.510857007600479;
+    dates[24] = Date(14, Sep, 2048);
+    dfs[24] = 0.44941525649436;
+    dates[25] = Date(13, Sep, 2058);
+    dfs[25] = 0.352389176933952;
+    dates[26] = Date(13, Sep, 2068);
+    dfs[26] = 0.28183300653329;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> usdProjectionCurve() {
+
+    vector<Date> dates(25);
+    vector<DiscountFactor> dfs(25);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(13, Dec, 2018);
+    dfs[1] = 0.994134145990132;
+    dates[2] = Date(19, Dec, 2018);
+    dfs[2] = 0.993695776146116;
+    dates[3] = Date(20, Mar, 2019);
+    dfs[3] = 0.987047992958673;
+    dates[4] = Date(19, Jun, 2019);
+    dfs[4] = 0.980016364694049;
+    dates[5] = Date(18, Sep, 2019);
+    dfs[5] = 0.972708376777628;
+    dates[6] = Date(18, Dec, 2019);
+    dfs[6] = 0.965277162951128;
+    dates[7] = Date(18, Mar, 2020);
+    dfs[7] = 0.957799302363697;
+    dates[8] = Date(14, Sep, 2020);
+    dfs[8] = 0.943264331984248;
+    dates[9] = Date(13, Sep, 2021);
+    dfs[9] = 0.914816470778467;
+    dates[10] = Date(13, Sep, 2022);
+    dfs[10] = 0.88764714641623;
+    dates[11] = Date(13, Sep, 2023);
+    dfs[11] = 0.861475671008934;
+    dates[12] = Date(13, Sep, 2024);
+    dfs[12] = 0.835944798717806;
+    dates[13] = Date(15, Sep, 2025);
+    dfs[13] = 0.810833947617338;
+    dates[14] = Date(14, Sep, 2026);
+    dfs[14] = 0.78631849267276;
+    dates[15] = Date(13, Sep, 2027);
+    dfs[15] = 0.762267648509673;
+    dates[16] = Date(13, Sep, 2028);
+    dfs[16] = 0.738613627359076;
+    dates[17] = Date(13, Sep, 2029);
+    dfs[17] = 0.715502378943932;
+    dates[18] = Date(13, Sep, 2030);
+    dfs[18] = 0.693380472578176;
+    dates[19] = Date(13, Sep, 2033);
+    dfs[19] = 0.631097994110912;
+    dates[20] = Date(13, Sep, 2038);
+    dfs[20] = 0.540797634630251;
+    dates[21] = Date(14, Sep, 2043);
+    dfs[21] = 0.465599237331079;
+    dates[22] = Date(14, Sep, 2048);
+    dfs[22] = 0.402119473746341;
+    dates[23] = Date(13, Sep, 2058);
+    dfs[23] = 0.303129773289934;
+    dates[24] = Date(13, Sep, 2068);
+    dfs[24] = 0.23210070222569;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> tryDiscountCurve() {
+
+    vector<Date> dates(18);
+    vector<DiscountFactor> dfs(18);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(15, Oct, 2018);
+    dfs[1] = 0.979316826759248;
+    dates[2] = Date(13, Nov, 2018);
+    dfs[2] = 0.959997676372812;
+    dates[3] = Date(13, Dec, 2018);
+    dfs[3] = 0.939987819768341;
+    dates[4] = Date(14, Jan, 2019);
+    dfs[4] = 0.917879348095857;
+    dates[5] = Date(13, Feb, 2019);
+    dfs[5] = 0.897309447005875;
+    dates[6] = Date(13, Mar, 2019);
+    dfs[6] = 0.878377243062539;
+    dates[7] = Date(13, Sep, 2019);
+    dfs[7] = 0.76374502801031;
+    dates[8] = Date(14, Sep, 2020);
+    dfs[8] = 0.595566112318217;
+    dates[9] = Date(13, Sep, 2021);
+    dfs[9] = 0.483132147134316;
+    dates[10] = Date(13, Sep, 2022);
+    dfs[10] = 0.402466076327945;
+    dates[11] = Date(13, Sep, 2023);
+    dfs[11] = 0.345531820837392;
+    dates[12] = Date(13, Sep, 2024);
+    dfs[12] = 0.298070398810781;
+    dates[13] = Date(13, Sep, 2025);
+    dfs[13] = 0.264039803303106;
+    dates[14] = Date(13, Sep, 2026);
+    dfs[14] = 0.237813130821584;
+    dates[15] = Date(13, Sep, 2027);
+    dfs[15] = 0.216456097559999;
+    dates[16] = Date(13, Sep, 2028);
+    dfs[16] = 0.200289181912326;
+    dates[17] = Date(13, Sep, 2033);
+    dfs[17] = 0.122659501286113;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+ext::shared_ptr<CrossCcyFixFloatSwap> makeFixFloatXCCYSwap(Rate spotFx, Rate rate, Spread spread) {
+
+    // USD nominal
+    Real usdNominal = 10000000.0;
+
+    // Shared settlement conventions
+    BusinessDayConvention payConvention = Following;
+    Natural payLag = 0;
+    JointCalendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), UnitedKingdom(), Turkey());
+
+    // Swap start and end date
+    Date referenceDate = Settings::instance().evaluationDate();
+    referenceDate = payCalendar.adjust(referenceDate);
+    Date start = payCalendar.advance(referenceDate, 2 * Days);
+    Date end = start + 5 * Years;
+
+    // Fixed TRY schedule
+    Schedule fixedSchedule(start, end, 1 * Years, payCalendar, ModifiedFollowing, ModifiedFollowing,
+                           DateGeneration::Backward, false);
+
+    // Float USD schedule
+    Schedule floatSchedule(start, end, 3 * Months, payCalendar, ModifiedFollowing, ModifiedFollowing,
+                           DateGeneration::Backward, false);
+
+    auto index = ext::make_shared<USDLibor>(3 * Months, usdProjectionCurve());
+
+    // Create swap
+    return ext::shared_ptr<CrossCcyFixFloatSwap>(
+        new CrossCcyFixFloatSwap(CrossCcyFixFloatSwap::Payer, usdNominal * spotFx, TRYCurrency(), fixedSchedule, rate,
+                                 Actual360(), payConvention, payLag, payCalendar, usdNominal, USDCurrency(),
+                                 floatSchedule, index, spread, payConvention, payLag, payCalendar));
+}
+
+
+BOOST_AUTO_TEST_CASE(testFixFloatXCCYSwapPricing) {
+
+    BOOST_TEST_MESSAGE("Test cross currency fix float swap pricing against known results");
+
+    SavedSettings backup;
+
+    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+
+    // Create swap, USD 3M Libor vs TRY annual fixed
+    Rate spotFx = 6.4304;
+    Rate rate = 0.249;
+    Spread spread = 0.0;
+    auto swap = makeFixFloatXCCYSwap(spotFx, rate, spread);
+
+    // Attach pricing engine
+    auto fxSpotQuote = makeQuoteHandle(1.0 / spotFx);
+    auto engine = ext::make_shared<CrossCcySwapEngine>(
+        USDCurrency(), usdDiscountCurve(), TRYCurrency(), tryDiscountCurve(), fxSpotQuote);
+    swap->setPricingEngine(engine);
+
+    // Check values
+	Real usdTolerance = 0.01;
+
+	Real expNpv = 129777.91;
+	CHECK_XCCY_SWAP_RESULT("NPV", swap->NPV(), expNpv, usdTolerance);
+
+	Real expPayLegNpv = -12286.45;
+	Real expPayLegBps = -2628.39;
+	CHECK_XCCY_SWAP_RESULT("Leg 0 NPV", swap->legNPV(0), expPayLegNpv, usdTolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", swap->legBPS(0), expPayLegBps, usdTolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", swap->inCcyLegNPV(0), expPayLegNpv * spotFx, usdTolerance * spotFx);
+	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", swap->inCcyLegBPS(0), expPayLegBps * spotFx, usdTolerance * spotFx);
+
+	Real expRecLegNpv = 142064.36;
+	Real expRecLegBps = 4735.03;
+	CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", swap->legNPV(1), expRecLegNpv, usdTolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", swap->legBPS(1), expRecLegBps, usdTolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyNPV", swap->inCcyLegNPV(1), expRecLegNpv, usdTolerance);
+	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyBPS", swap->inCcyLegBPS(1), expRecLegBps, usdTolerance);
+
+	CHECK_XCCY_SWAP_RESULT("Fair Fixed Rate", swap->fairFixedRate(), 0.253937551076, 1e-10);
+	CHECK_XCCY_SWAP_RESULT("Fair Spread", swap->fairSpread(), -0.002740802104, 1e-10);
+}
+
+BOOST_AUTO_TEST_SUITE_END()
+
+BOOST_AUTO_TEST_SUITE_END()
diff --git a/test-suite/testsuite.vcxproj b/test-suite/testsuite.vcxproj
index f7358c16045..24255aa8316 100644
--- a/test-suite/testsuite.vcxproj
+++ b/test-suite/testsuite.vcxproj
@@ -684,6 +684,7 @@
     <ClCompile Include="covariance.cpp" />
     <ClCompile Include="creditdefaultswap.cpp" />
     <ClCompile Include="creditriskplus.cpp" />
+    <ClCompile Include="crossccyfixfloatswap.cpp" />
     <ClCompile Include="crossccyswap.cpp" />
     <ClCompile Include="crosscurrencyratehelpers.cpp" />
     <ClCompile Include="currency.cpp" />
diff --git a/test-suite/testsuite.vcxproj.filters b/test-suite/testsuite.vcxproj.filters
index f7b4e153960..78bd90e0a33 100644
--- a/test-suite/testsuite.vcxproj.filters
+++ b/test-suite/testsuite.vcxproj.filters
@@ -501,6 +501,9 @@
     <ClCompile Include="basisswapratehelpers.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="crossccyfixfloatswap.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="crossccyswap.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>

From 960ab1552e011809f197bd3b822be06346cd29b2 Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Mon, 16 Jun 2025 19:13:08 +0200
Subject: [PATCH 08/18] Fixed typo in comments

---
 ql/instruments/crossccyfixfloatswap.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/instruments/crossccyfixfloatswap.hpp b/ql/instruments/crossccyfixfloatswap.hpp
index e909c6a5c8c..9048fc2bfda 100644
--- a/ql/instruments/crossccyfixfloatswap.hpp
+++ b/ql/instruments/crossccyfixfloatswap.hpp
@@ -18,7 +18,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file qle/instruments/crossccyfixfloatswap.hpp
+/*! \file ql/instruments/crossccyfixfloatswap.hpp
     \brief Cross currency fixed vs float swap instrument
     \ingroup instruments
 */

From 59df14c7748282d7021ae226e129ad725128807b Mon Sep 17 00:00:00 2001
From: Paolo D'Elia <paolo.delia99@gmail.com>
Date: Tue, 17 Jun 2025 10:11:44 +0200
Subject: [PATCH 09/18] add usingAtParCoupons, and fix code format in
 crossccyfixfloatswap.cpp

---
 test-suite/crossccyfixfloatswap.cpp | 54 ++++++++++++++---------------
 1 file changed, 27 insertions(+), 27 deletions(-)

diff --git a/test-suite/crossccyfixfloatswap.cpp b/test-suite/crossccyfixfloatswap.cpp
index d3942dd8470..a5f1da03a6e 100644
--- a/test-suite/crossccyfixfloatswap.cpp
+++ b/test-suite/crossccyfixfloatswap.cpp
@@ -19,8 +19,6 @@
 */
 
 #include "toplevelfixture.hpp"
-#include <boost/make_shared.hpp>
-#include <boost/test/unit_test.hpp>
 #include <ql/currencies/all.hpp>
 #include <ql/indexes/ibor/usdlibor.hpp>
 #include <ql/quotes/simplequote.hpp>
@@ -252,47 +250,49 @@ ext::shared_ptr<CrossCcyFixFloatSwap> makeFixFloatXCCYSwap(Rate spotFx, Rate rat
 
 
 BOOST_AUTO_TEST_CASE(testFixFloatXCCYSwapPricing) {
-
     BOOST_TEST_MESSAGE("Test cross currency fix float swap pricing against known results");
 
     SavedSettings backup;
-
     Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+	bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();
 
     // Create swap, USD 3M Libor vs TRY annual fixed
     Rate spotFx = 6.4304;
     Rate rate = 0.249;
     Spread spread = 0.0;
-    auto swap = makeFixFloatXCCYSwap(spotFx, rate, spread);
+    auto xccy = makeFixFloatXCCYSwap(spotFx, rate, spread);
 
     // Attach pricing engine
     auto fxSpotQuote = makeQuoteHandle(1.0 / spotFx);
     auto engine = ext::make_shared<CrossCcySwapEngine>(
         USDCurrency(), usdDiscountCurve(), TRYCurrency(), tryDiscountCurve(), fxSpotQuote);
-    swap->setPricingEngine(engine);
+    xccy->setPricingEngine(engine);
 
     // Check values
-	Real usdTolerance = 0.01;
-
-	Real expNpv = 129777.91;
-	CHECK_XCCY_SWAP_RESULT("NPV", swap->NPV(), expNpv, usdTolerance);
-
-	Real expPayLegNpv = -12286.45;
-	Real expPayLegBps = -2628.39;
-	CHECK_XCCY_SWAP_RESULT("Leg 0 NPV", swap->legNPV(0), expPayLegNpv, usdTolerance);
-	CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", swap->legBPS(0), expPayLegBps, usdTolerance);
-	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", swap->inCcyLegNPV(0), expPayLegNpv * spotFx, usdTolerance * spotFx);
-	CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", swap->inCcyLegBPS(0), expPayLegBps * spotFx, usdTolerance * spotFx);
-
-	Real expRecLegNpv = 142064.36;
-	Real expRecLegBps = 4735.03;
-	CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", swap->legNPV(1), expRecLegNpv, usdTolerance);
-	CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", swap->legBPS(1), expRecLegBps, usdTolerance);
-	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyNPV", swap->inCcyLegNPV(1), expRecLegNpv, usdTolerance);
-	CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyBPS", swap->inCcyLegBPS(1), expRecLegBps, usdTolerance);
-
-	CHECK_XCCY_SWAP_RESULT("Fair Fixed Rate", swap->fairFixedRate(), 0.253937551076, 1e-10);
-	CHECK_XCCY_SWAP_RESULT("Fair Spread", swap->fairSpread(), -0.002740802104, 1e-10);
+    Real usdTolerance = 0.01;
+	
+    Real expNpv = usingAtParCoupons ? 129777.91 : 129767.99;
+    CHECK_XCCY_SWAP_RESULT("NPV", xccy->NPV(), expNpv, usdTolerance);
+
+    Real expPayLegNpv = -12286.45;
+    Real expPayLegBps = -2628.39;
+    CHECK_XCCY_SWAP_RESULT("Leg 0 NPV", xccy->legNPV(0), expPayLegNpv, usdTolerance);
+    CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", xccy->legBPS(0), expPayLegBps, usdTolerance);
+    CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyNPV", xccy->inCcyLegNPV(0), expPayLegNpv * spotFx, usdTolerance * spotFx);
+    CHECK_XCCY_SWAP_RESULT("Leg 0 inCcyBPS", xccy->inCcyLegBPS(0), expPayLegBps * spotFx, usdTolerance * spotFx);
+
+    Real expRecLegNpv = usingAtParCoupons ? 142064.36 : 142054.44;
+    Real expRecLegBps = 4735.03;
+    CHECK_XCCY_SWAP_RESULT("Leg 1 NPV", xccy->legNPV(1), expRecLegNpv, usdTolerance);
+    CHECK_XCCY_SWAP_RESULT("Leg 1 BPS", xccy->legBPS(1), expRecLegBps, usdTolerance);
+    CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyNPV", xccy->inCcyLegNPV(1), expRecLegNpv, usdTolerance);
+    CHECK_XCCY_SWAP_RESULT("Leg 1 inCcyBPS", xccy->inCcyLegBPS(1), expRecLegBps, usdTolerance);
+
+    Real expectedFairRate = usingAtParCoupons ? 0.253937551076 : 0.253937173908;
+    Real expectedFairSpread = usingAtParCoupons ? -0.002740802104 : -0.002740592739;
+
+    CHECK_XCCY_SWAP_RESULT("Fair Fixed Rate", xccy->fairFixedRate(), expectedFairRate, 1e-10);
+    CHECK_XCCY_SWAP_RESULT("Fair Spread", xccy->fairSpread(), expectedFairSpread, 1e-10);
 }
 
 BOOST_AUTO_TEST_SUITE_END()

From 9b62fab040c1521577a8bad55ab438c7107259bc Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 16 Jun 2025 17:15:30 +0000
Subject: [PATCH 10/18] Update generated headers

---
 ql/instruments/all.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
index 1f4205def77..a6326bcbbf7 100644
--- a/ql/instruments/all.hpp
+++ b/ql/instruments/all.hpp
@@ -20,6 +20,7 @@
 #include <ql/instruments/cpicapfloor.hpp>
 #include <ql/instruments/cpiswap.hpp>
 #include <ql/instruments/creditdefaultswap.hpp>
+#include <ql/instruments/crossccyfixfloatswap.hpp>
 #include <ql/instruments/crossccyswap.hpp>
 #include <ql/instruments/dividendschedule.hpp>
 #include <ql/instruments/doublebarrieroption.hpp>

From a65859e7d9a00f8ed9fef0309ce2d21891314368 Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 17 Jun 2025 08:11:58 +0000
Subject: [PATCH 11/18] Update copyright list in license

---
 LICENSE.TXT | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/LICENSE.TXT b/LICENSE.TXT
index 028efcbf89d..564a8bd1b12 100644
--- a/LICENSE.TXT
+++ b/LICENSE.TXT
@@ -126,8 +126,8 @@ Copyright (C) 2015, 2016 Andres Hernandez
 Copyright (C) 2016 Nicholas Bertocchi
 Copyright (C) 2016 Stefano Fondi
 Copyright (C) 2016, 2017 Fabrice Lecuyer
+Copyright (C) 2016, 2018, 2022 Quaternion Risk Management Ltd
 Copyright (C) 2016, 2019, 2020 Eisuke Tani
-Copyright (C) 2016, 2022 Quaternion Risk Management Ltd
 
 Copyright (C) 2017 BN Algorithms Ltd
 Copyright (C) 2017 Joseph Jeisman

From ecdda37e9edd6116d3268749c7690bda2a58cf60 Mon Sep 17 00:00:00 2001
From: Paolo D'Elia <paolo.delia99@gmail.com>
Date: Tue, 17 Jun 2025 10:30:02 +0200
Subject: [PATCH 12/18] Add missing import in crossccyfixfloatswap tests

---
 test-suite/crossccyfixfloatswap.cpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/test-suite/crossccyfixfloatswap.cpp b/test-suite/crossccyfixfloatswap.cpp
index a5f1da03a6e..bebb5e51bbc 100644
--- a/test-suite/crossccyfixfloatswap.cpp
+++ b/test-suite/crossccyfixfloatswap.cpp
@@ -21,6 +21,7 @@
 #include "toplevelfixture.hpp"
 #include <ql/currencies/all.hpp>
 #include <ql/indexes/ibor/usdlibor.hpp>
+#include <ql/cashflows/iborcoupon.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/termstructures/yield/discountcurve.hpp>
 #include <ql/time/calendars/all.hpp>

From cecf12414b77f03f5d7f92355825ceb2ecbc7165 Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Tue, 17 Jun 2025 19:17:14 +0200
Subject: [PATCH 13/18] Added crossccybasisswap and related tests

---
 QuantLib.vcxproj                     |   2 +
 QuantLib.vcxproj.filters             |   6 +
 ql/CMakeLists.txt                    |   2 +
 ql/instruments/Makefile.am           |   2 +
 ql/instruments/crossccybasisswap.cpp | 176 +++++++++++++
 ql/instruments/crossccybasisswap.hpp | 149 +++++++++++
 test-suite/CMakeLists.txt            |   1 +
 test-suite/Makefile.am               |   1 +
 test-suite/crossccybasisswap.cpp     | 356 +++++++++++++++++++++++++++
 test-suite/testsuite.vcxproj         |   1 +
 test-suite/testsuite.vcxproj.filters |   3 +
 11 files changed, 699 insertions(+)
 create mode 100644 ql/instruments/crossccybasisswap.cpp
 create mode 100644 ql/instruments/crossccybasisswap.hpp
 create mode 100644 test-suite/crossccybasisswap.cpp

diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
index 989f08e2322..20d5cae79cb 100644
--- a/QuantLib.vcxproj
+++ b/QuantLib.vcxproj
@@ -912,6 +912,7 @@
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
     <ClInclude Include="ql\instruments\cpiswap.hpp" />
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp" />
+    <ClInclude Include="ql\instruments\crossccybasisswap.hpp" />
     <ClInclude Include="ql\instruments\crossccyfixfloatswap.hpp" />
     <ClInclude Include="ql\instruments\crossccyswap.hpp" />
     <ClInclude Include="ql\instruments\dividendbarrieroption.hpp" />
@@ -2190,6 +2191,7 @@
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
     <ClCompile Include="ql\instruments\cpiswap.cpp" />
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp" />
+    <ClCompile Include="ql\instruments\crossccybasisswap.cpp" />
     <ClCompile Include="ql\instruments\crossccyfixfloatswap.cpp" />
     <ClCompile Include="ql\instruments\crossccyswap.cpp" />
     <ClCompile Include="ql\instruments\doublebarrieroption.cpp" />
diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
index f555f51f79a..558092aa40d 100644
--- a/QuantLib.vcxproj.filters
+++ b/QuantLib.vcxproj.filters
@@ -822,6 +822,9 @@
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\crossccybasisswap.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\crossccyfixfloatswap.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -4754,6 +4757,9 @@
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\crossccybasisswap.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\crossccyfixfloatswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
index 0fd56725288..d2a43a89362 100644
--- a/ql/CMakeLists.txt
+++ b/ql/CMakeLists.txt
@@ -271,6 +271,7 @@ set(QL_SOURCES
     instruments/cpicapfloor.cpp
     instruments/cpiswap.cpp
     instruments/creditdefaultswap.cpp
+    instruments/crossccybasisswap.cpp
     instruments/crossccyfixfloatswap.cpp
     instruments/crossccyswap.cpp
     instruments/doublebarrieroption.cpp
@@ -1339,6 +1340,7 @@ set(QL_HEADERS
     instruments/cpicapfloor.hpp
     instruments/cpiswap.hpp
     instruments/creditdefaultswap.hpp
+    instruments/crossccybasisswap.hpp
     instruments/crossccyfixfloatswap.hpp
     instruments/crossccyswap.hpp
     instruments/dividendbarrieroption.hpp
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index add73d8a074..223aeec8115 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -25,6 +25,7 @@ this_include_HEADERS = \
     cpicapfloor.hpp \
     cpiswap.hpp \
     creditdefaultswap.hpp \
+    crossccybasisswap.hpp \
     crossccyfixfloatswap.hpp \
     crossccyswap.hpp \
     dividendbarrieroption.hpp \
@@ -102,6 +103,7 @@ cpp_files = \
     cpicapfloor.cpp \
     cpiswap.cpp \
     creditdefaultswap.cpp \
+    crossccybasisswap.cpp \
     crossccyfixfloatswap.cpp \
     crossccyswap.cpp \
     doublebarrieroption.cpp \
diff --git a/ql/instruments/crossccybasisswap.cpp b/ql/instruments/crossccybasisswap.cpp
new file mode 100644
index 00000000000..c07ed86bcf9
--- /dev/null
+++ b/ql/instruments/crossccybasisswap.cpp
@@ -0,0 +1,176 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2016 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/cashflows/iborcoupon.hpp>
+#include <ql/cashflows/simplecashflow.hpp>
+#include <ql/cashflows/overnightindexedcoupon.hpp>
+#include <ql/instruments/crossccybasisswap.hpp>
+
+namespace QuantLib  {
+
+CrossCcyBasisSwap::CrossCcyBasisSwap(Real payNominal, const Currency& payCurrency, const Schedule& paySchedule,
+                                     const ext::shared_ptr<IborIndex>& payIndex, Spread paySpread, Real payGearing,
+                                     Real recNominal, const Currency& recCurrency, const Schedule& recSchedule,
+                                     const ext::shared_ptr<IborIndex>& recIndex, Spread recSpread, Real recGearing,
+                                     Size payPaymentLag, Size recPaymentLag, ext::optional<bool> payIncludeSpread,
+                                     ext::optional<Natural> payLookbackDays, ext::optional<bool> recIncludeSpread,
+									 ext::optional<Natural> recLookbackDays, const bool telescopicValueDates)
+    : CrossCcySwap(2), payNominal_(payNominal), payCurrency_(payCurrency), paySchedule_(paySchedule),
+      payIndex_(payIndex), paySpread_(paySpread), payGearing_(payGearing), recNominal_(recNominal),
+      recCurrency_(recCurrency), recSchedule_(recSchedule), recIndex_(recIndex), recSpread_(recSpread),
+      recGearing_(recGearing), payPaymentLag_(payPaymentLag), recPaymentLag_(recPaymentLag),
+      payIncludeSpread_(payIncludeSpread), payLookbackDays_(payLookbackDays), recIncludeSpread_(recIncludeSpread),
+      recLookbackDays_(recLookbackDays), telescopicValueDates_(telescopicValueDates) {
+    registerWith(payIndex_);
+    registerWith(recIndex_);
+    initialize();
+}
+
+void CrossCcyBasisSwap::initialize() {
+    // Pay leg
+    if (auto on = ext::dynamic_pointer_cast<OvernightIndex>(payIndex_)) {
+        // ON leg
+        legs_[0] = OvernightLeg(paySchedule_, on)
+                        .withNotionals(payNominal_)
+                        .withSpreads(paySpread_)
+                        .withGearings(payGearing_)
+                        .withPaymentLag(payPaymentLag_)
+                        .withSpreads(payIncludeSpread_ ? *payIncludeSpread_ : false)
+                        .withLookbackDays(payLookbackDays_ ? *payLookbackDays_ : 0)
+                        .withTelescopicValueDates(telescopicValueDates_);
+    } else {
+        // Ibor leg
+        legs_[0] = IborLeg(paySchedule_, payIndex_)
+                       .withNotionals(payNominal_)
+                       .withSpreads(paySpread_)
+                       .withGearings(payGearing_)
+                       .withPaymentLag(payPaymentLag_);
+    }
+    payer_[0] = -1.0;
+    currencies_[0] = payCurrency_;
+    // Pay leg notional exchange at start.
+    Date initialPayDate = paySchedule_.dates().front();
+    ext::shared_ptr<CashFlow> initialPayCF(new SimpleCashFlow(-payNominal_, initialPayDate));
+    legs_[0].insert(legs_[0].begin(), initialPayCF);
+    // Pay leg notional exchange at end.
+    Date finalPayDate = paySchedule_.dates().back();
+    ext::shared_ptr<CashFlow> finalPayCF(new SimpleCashFlow(payNominal_, finalPayDate));
+    legs_[0].push_back(finalPayCF);
+
+    // Receive leg
+    if (auto on = ext::dynamic_pointer_cast<OvernightIndex>(recIndex_)) {
+        // ON leg
+        legs_[1] = OvernightLeg(recSchedule_, on)
+                        .withNotionals(recNominal_)
+                        .withSpreads(recSpread_)
+                        .withGearings(recGearing_)
+                        .withPaymentLag(recPaymentLag_)
+                        .withSpreads(recIncludeSpread_ ? *recIncludeSpread_ : false)
+                        .withLookbackDays(recLookbackDays_ ? *recLookbackDays_ : 0)
+                        .withTelescopicValueDates(telescopicValueDates_);
+    } else {
+        // Ibor leg
+        legs_[1] = IborLeg(recSchedule_, recIndex_)
+                       .withNotionals(recNominal_)
+                       .withSpreads(recSpread_)
+                       .withGearings(recGearing_)
+                       .withPaymentLag(recPaymentLag_);
+    }
+    payer_[1] = +1.0;
+    currencies_[1] = recCurrency_;
+    // Receive leg notional exchange at start.
+    Date initialRecDate = recSchedule_.dates().front();
+    ext::shared_ptr<CashFlow> initialRecCF(new SimpleCashFlow(-recNominal_, initialRecDate));
+    legs_[1].insert(legs_[1].begin(), initialRecCF);
+    // Receive leg notional exchange at end.
+    Date finalRecDate = recSchedule_.dates().back();
+    ext::shared_ptr<CashFlow> finalRecCF(new SimpleCashFlow(recNominal_, finalRecDate));
+    legs_[1].push_back(finalRecCF);
+
+    // Register the instrument with all cashflows on each leg.
+    for (Size legNo = 0; legNo < 2; legNo++) {
+        Leg::iterator it;
+        for (it = legs_[legNo].begin(); it != legs_[legNo].end(); ++it) {
+            registerWith(*it);
+        }
+    }
+}
+
+void CrossCcyBasisSwap::setupArguments(PricingEngine::arguments* args) const {
+
+    CrossCcySwap::setupArguments(args);
+
+    CrossCcyBasisSwap::arguments* arguments = dynamic_cast<CrossCcyBasisSwap::arguments*>(args);
+
+    /* Returns here if e.g. args is CrossCcySwap::arguments which
+       is the case if PricingEngine is a CrossCcySwap::engine. */
+    if (!arguments)
+        return;
+
+    arguments->paySpread = paySpread_;
+    arguments->recSpread = recSpread_;
+}
+
+void CrossCcyBasisSwap::fetchResults(const PricingEngine::results* r) const {
+
+    CrossCcySwap::fetchResults(r);
+
+    const CrossCcyBasisSwap::results* results = dynamic_cast<const CrossCcyBasisSwap::results*>(r);
+    if (results) {
+        /* If PricingEngine::results are of type
+           CrossCcyBasisSwap::results */
+        fairPaySpread_ = results->fairPaySpread;
+        fairRecSpread_ = results->fairRecSpread;
+    } else {
+        /* If not, e.g. if the engine is a CrossCcySwap::engine */
+        fairPaySpread_ = Null<Spread>();
+        fairRecSpread_ = Null<Spread>();
+    }
+
+    /* Calculate the fair pay and receive spreads if they are null */
+    static Spread basisPoint = 1.0e-4;
+    if (fairPaySpread_ == Null<Spread>()) {
+        if (legBPS_[0] != Null<Real>())
+            fairPaySpread_ = paySpread_ - NPV_ / (legBPS_[0] / basisPoint);
+    }
+    if (fairRecSpread_ == Null<Spread>()) {
+        if (legBPS_[1] != Null<Real>())
+            fairRecSpread_ = recSpread_ - NPV_ / (legBPS_[1] / basisPoint);
+    }
+}
+
+void CrossCcyBasisSwap::setupExpired() const {
+    CrossCcySwap::setupExpired();
+    fairPaySpread_ = Null<Spread>();
+    fairRecSpread_ = Null<Spread>();
+}
+
+void CrossCcyBasisSwap::arguments::validate() const {
+    CrossCcySwap::arguments::validate();
+    QL_REQUIRE(paySpread != Null<Spread>(), "Pay spread cannot be null");
+    QL_REQUIRE(recSpread != Null<Spread>(), "Rec spread cannot be null");
+}
+
+void CrossCcyBasisSwap::results::reset() {
+    CrossCcySwap::results::reset();
+    fairPaySpread = Null<Spread>();
+    fairRecSpread = Null<Spread>();
+}
+} // namespace QuantLib
diff --git a/ql/instruments/crossccybasisswap.hpp b/ql/instruments/crossccybasisswap.hpp
new file mode 100644
index 00000000000..29b75120b77
--- /dev/null
+++ b/ql/instruments/crossccybasisswap.hpp
@@ -0,0 +1,149 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2016 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file crossccybasisswap.hpp
+    \brief Cross currency basis swap instrument
+
+        \ingroup instruments
+*/
+
+#ifndef quantlib_cross_ccy_basis_swap_hpp
+#define quantlib_cross_ccy_basis_swap_hpp
+
+#include <ql/indexes/iborindex.hpp>
+#include <ql/time/schedule.hpp>
+#include <ql/instruments/crossccyswap.hpp>
+
+namespace QuantLib {
+
+//! Cross currency basis swap
+/*! The first leg holds the pay currency cashflows and second leg holds
+    the receive currency cashflows.
+
+            \ingroup instruments
+*/
+class CrossCcyBasisSwap : public CrossCcySwap {
+public:
+    class arguments;
+    class results;
+    //! \name Constructors
+    //@{
+    /*! First leg holds the pay currency cashflows and the second leg
+        holds the receive currency cashflows.
+    */
+    CrossCcyBasisSwap(
+        Real payNominal, const Currency& payCurrency, const Schedule& paySchedule,
+        const ext::shared_ptr<IborIndex>& payIndex, Spread paySpread, Real payGearing, Real recNominal,
+        const Currency& recCurrency, const Schedule& recSchedule, const ext::shared_ptr<IborIndex>& recIndex,
+        Spread recSpread, Real recGearing, Size payPaymentLag = 0, Size recPaymentLag = 0,
+        ext::optional<bool> payIncludeSpread = ext::nullopt, ext::optional<Natural> payLookbackDays = ext::nullopt,
+        ext::optional<bool> recIncludeSpread = ext::nullopt, ext::optional<Natural> recLookbackDays = ext::nullopt,
+		const bool telescopicValueDates = false);
+    //@}
+    //! \name Instrument interface
+    //@{
+    void setupArguments(PricingEngine::arguments* args) const override;
+    void fetchResults(const PricingEngine::results*) const override;
+    //@}
+    //! \name Inspectors
+    //@{
+    Real payNominal() const { return payNominal_; }
+    const Currency& payCurrency() const { return payCurrency_; }
+    const Schedule& paySchedule() const { return paySchedule_; }
+    const ext::shared_ptr<IborIndex>& payIndex() const { return payIndex_; }
+    Spread paySpread() const { return paySpread_; }
+    Real payGearing() const { return payGearing_; }
+
+    Real recNominal() const { return recNominal_; }
+    const Currency& recCurrency() const { return recCurrency_; }
+    const Schedule& recSchedule() const { return recSchedule_; }
+    const ext::shared_ptr<IborIndex>& recIndex() const { return recIndex_; }
+    Spread recSpread() const { return recSpread_; }
+    Real recGearing() const { return recGearing_; }
+    //@}
+
+    //! \name Additional interface
+    //@{
+    Spread fairPaySpread() const {
+        calculate();
+        QL_REQUIRE(fairPaySpread_ != Null<Real>(), "Fair pay spread is not available");
+        return fairPaySpread_;
+    }
+    Spread fairRecSpread() const {
+        calculate();
+        QL_REQUIRE(fairRecSpread_ != Null<Real>(), "Fair pay spread is not available");
+        return fairRecSpread_;
+    }
+    //@}
+
+protected:
+    //! \name Instrument interface
+    //@{
+    void setupExpired() const override;
+    //@}
+
+private:
+    void initialize();
+
+    Real payNominal_;
+    Currency payCurrency_;
+    Schedule paySchedule_;
+    ext::shared_ptr<IborIndex> payIndex_;
+    Spread paySpread_;
+    Real payGearing_;
+
+    Real recNominal_;
+    Currency recCurrency_;
+    Schedule recSchedule_;
+    ext::shared_ptr<IborIndex> recIndex_;
+    Spread recSpread_;
+    Real recGearing_;
+
+    Size payPaymentLag_;
+    Size recPaymentLag_;
+    // OIS only
+    ext::optional<bool> payIncludeSpread_;
+    ext::optional<Natural> payLookbackDays_;
+    ext::optional<bool> recIncludeSpread_;
+    ext::optional<Natural> recLookbackDays_;
+    bool telescopicValueDates_;
+
+    mutable Spread fairPaySpread_;
+    mutable Spread fairRecSpread_;
+};
+
+//! \ingroup instruments
+class CrossCcyBasisSwap::arguments : public CrossCcySwap::arguments {
+public:
+    Spread paySpread;
+    Spread recSpread;
+    void validate() const override;
+};
+
+//! \ingroup instruments
+class CrossCcyBasisSwap::results : public CrossCcySwap::results {
+public:
+    Spread fairPaySpread;
+    Spread fairRecSpread;
+    void reset() override;
+};
+} // namespace QuantLib
+
+#endif
diff --git a/test-suite/CMakeLists.txt b/test-suite/CMakeLists.txt
index bf9ef1d4279..3c5b35e7042 100644
--- a/test-suite/CMakeLists.txt
+++ b/test-suite/CMakeLists.txt
@@ -39,6 +39,7 @@ set(QL_TEST_SOURCES
     covariance.cpp
     creditdefaultswap.cpp
     creditriskplus.cpp
+    crossccybasisswap.cpp
     crossccyfixfloatswap.cpp
     crossccyswap.cpp
     crosscurrencyratehelpers.cpp
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index f2852bad5ea..c2cc0714ff8 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -40,6 +40,7 @@ QL_TEST_SRCS = \
 	covariance.cpp \
 	creditdefaultswap.cpp \
 	creditriskplus.cpp \
+	crossccybasissswap.cpp \
 	crossccyfixfloatswap.cpp \
 	crossccyswap.cpp \
 	crosscurrencyratehelpers.cpp \
diff --git a/test-suite/crossccybasisswap.cpp b/test-suite/crossccybasisswap.cpp
new file mode 100644
index 00000000000..4807cc0bc1f
--- /dev/null
+++ b/test-suite/crossccybasisswap.cpp
@@ -0,0 +1,356 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2025 Paolo D'Elia
+ All rights reserved.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "toplevelfixture.hpp"
+#include <ql/cashflows/iborcoupon.hpp>
+#include <ql/cashflows/couponpricer.hpp>
+#include <ql/cashflows/floatingratecoupon.hpp>
+#include <ql/currencies/all.hpp>
+#include <ql/indexes/ibor/gbplibor.hpp>
+#include <ql/indexes/ibor/usdlibor.hpp>
+#include <ql/quotes/simplequote.hpp>
+#include <ql/termstructures/yield/discountcurve.hpp>
+#include <ql/time/calendars/all.hpp>
+#include <ql/time/daycounters/actual360.hpp>
+#include <ql/types.hpp>
+#include <ql/instruments/crossccybasisswap.hpp>
+#include <ql/pricingengines/swap/crossccyswapengine.hpp>
+
+using namespace std;
+using namespace boost::unit_test_framework;
+using namespace QuantLib;
+
+BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
+
+BOOST_AUTO_TEST_SUITE(CrossCcyBasisSwapTest)
+
+#define CHECK_XCCY_SWAP_RESULT(what, calculated, expected, tolerance)   \
+    if (std::fabs(calculated-expected) > tolerance) { \
+        BOOST_ERROR("Failed to reproduce " what ":" \
+                    << "\n    expected:   " << std::setprecision(12) << expected \
+                    << "\n    calculated: " << std::setprecision(12) << calculated \
+                    << "\n    error:      " << std::setprecision(12) << std::fabs(calculated-expected)); \
+    }
+
+Handle<YieldTermStructure> USDDiscountCurve() {
+
+    vector<Date> dates(27);
+    vector<DiscountFactor> dfs(27);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(14, Sep, 2018);
+    dfs[1] = 0.99994666951096;
+    dates[2] = Date(20, Sep, 2018);
+    dfs[2] = 0.999627719221066;
+    dates[3] = Date(27, Sep, 2018);
+    dfs[3] = 0.999254084816959;
+    dates[4] = Date(04, Oct, 2018);
+    dfs[4] = 0.998837020905631;
+    dates[5] = Date(15, Oct, 2018);
+    dfs[5] = 0.998176132423265;
+    dates[6] = Date(13, Nov, 2018);
+    dfs[6] = 0.99644587210048;
+    dates[7] = Date(13, Dec, 2018);
+    dfs[7] = 0.994644668243218;
+    dates[8] = Date(14, Jan, 2019);
+    dfs[8] = 0.992596634984033;
+    dates[9] = Date(13, Feb, 2019);
+    dfs[9] = 0.990636503861861;
+    dates[10] = Date(13, Mar, 2019);
+    dfs[10] = 0.988809127958345;
+    dates[11] = Date(13, Jun, 2019);
+    dfs[11] = 0.982417991680868;
+    dates[12] = Date(13, Sep, 2019);
+    dfs[12] = 0.975723193871552;
+    dates[13] = Date(13, Mar, 2020);
+    dfs[13] = 0.96219213956104;
+    dates[14] = Date(14, Sep, 2020);
+    dfs[14] = 0.948588232418325;
+    dates[15] = Date(13, Sep, 2021);
+    dfs[15] = 0.92279636773464;
+    dates[16] = Date(13, Sep, 2022);
+    dfs[16] = 0.898345201557914;
+    dates[17] = Date(13, Sep, 2023);
+    dfs[17] = 0.874715322269088;
+    dates[18] = Date(15, Sep, 2025);
+    dfs[18] = 0.828658611114833;
+    dates[19] = Date(13, Sep, 2028);
+    dfs[19] = 0.763030152740947;
+    dates[20] = Date(13, Sep, 2030);
+    dfs[20] = 0.722238847877756;
+    dates[21] = Date(13, Sep, 2033);
+    dfs[21] = 0.664460629674362;
+    dates[22] = Date(13, Sep, 2038);
+    dfs[22] = 0.580288693473926;
+    dates[23] = Date(14, Sep, 2043);
+    dfs[23] = 0.510857007600479;
+    dates[24] = Date(14, Sep, 2048);
+    dfs[24] = 0.44941525649436;
+    dates[25] = Date(13, Sep, 2058);
+    dfs[25] = 0.352389176933952;
+    dates[26] = Date(13, Sep, 2068);
+    dfs[26] = 0.28183300653329;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> USDProjectionCurve() {
+
+    vector<Date> dates(25);
+    vector<DiscountFactor> dfs(25);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(13, Dec, 2018);
+    dfs[1] = 0.994134145990132;
+    dates[2] = Date(19, Dec, 2018);
+    dfs[2] = 0.993695776146116;
+    dates[3] = Date(20, Mar, 2019);
+    dfs[3] = 0.987047992958673;
+    dates[4] = Date(19, Jun, 2019);
+    dfs[4] = 0.980016364694049;
+    dates[5] = Date(18, Sep, 2019);
+    dfs[5] = 0.972708376777628;
+    dates[6] = Date(18, Dec, 2019);
+    dfs[6] = 0.965277162951128;
+    dates[7] = Date(18, Mar, 2020);
+    dfs[7] = 0.957799302363697;
+    dates[8] = Date(14, Sep, 2020);
+    dfs[8] = 0.943264331984248;
+    dates[9] = Date(13, Sep, 2021);
+    dfs[9] = 0.914816470778467;
+    dates[10] = Date(13, Sep, 2022);
+    dfs[10] = 0.88764714641623;
+    dates[11] = Date(13, Sep, 2023);
+    dfs[11] = 0.861475671008934;
+    dates[12] = Date(13, Sep, 2024);
+    dfs[12] = 0.835944798717806;
+    dates[13] = Date(15, Sep, 2025);
+    dfs[13] = 0.810833947617338;
+    dates[14] = Date(14, Sep, 2026);
+    dfs[14] = 0.78631849267276;
+    dates[15] = Date(13, Sep, 2027);
+    dfs[15] = 0.762267648509673;
+    dates[16] = Date(13, Sep, 2028);
+    dfs[16] = 0.738613627359076;
+    dates[17] = Date(13, Sep, 2029);
+    dfs[17] = 0.715502378943932;
+    dates[18] = Date(13, Sep, 2030);
+    dfs[18] = 0.693380472578176;
+    dates[19] = Date(13, Sep, 2033);
+    dfs[19] = 0.631097994110912;
+    dates[20] = Date(13, Sep, 2038);
+    dfs[20] = 0.540797634630251;
+    dates[21] = Date(14, Sep, 2043);
+    dfs[21] = 0.465599237331079;
+    dates[22] = Date(14, Sep, 2048);
+    dfs[22] = 0.402119473746341;
+    dates[23] = Date(13, Sep, 2058);
+    dfs[23] = 0.303129773289934;
+    dates[24] = Date(13, Sep, 2068);
+    dfs[24] = 0.23210070222569;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> GBPDiscountCurve() {
+
+    vector<Date> dates(27);
+    vector<DiscountFactor> dfs(27);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(14, Sep, 2018);
+    dfs[1] = 0.99994666951096;
+    dates[2] = Date(20, Sep, 2018);
+    dfs[2] = 0.999627719221066;
+    dates[3] = Date(27, Sep, 2018);
+    dfs[3] = 0.999254084816959;
+    dates[4] = Date(04, Oct, 2018);
+    dfs[4] = 0.998837020905631;
+    dates[5] = Date(15, Oct, 2018);
+    dfs[5] = 0.998176132423265;
+    dates[6] = Date(13, Nov, 2018);
+    dfs[6] = 0.99644587210048;
+    dates[7] = Date(13, Dec, 2018);
+    dfs[7] = 0.994644668243218;
+    dates[8] = Date(14, Jan, 2019);
+    dfs[8] = 0.992596634984033;
+    dates[9] = Date(13, Feb, 2019);
+    dfs[9] = 0.990636503861861;
+    dates[10] = Date(13, Mar, 2019);
+    dfs[10] = 0.988809127958345;
+    dates[11] = Date(13, Jun, 2019);
+    dfs[11] = 0.982417991680868;
+    dates[12] = Date(13, Sep, 2019);
+    dfs[12] = 0.975723193871552;
+    dates[13] = Date(13, Mar, 2020);
+    dfs[13] = 0.96219213956104;
+    dates[14] = Date(14, Sep, 2020);
+    dfs[14] = 0.948588232418325;
+    dates[15] = Date(13, Sep, 2021);
+    dfs[15] = 0.92279636773464;
+    dates[16] = Date(13, Sep, 2022);
+    dfs[16] = 0.898345201557914;
+    dates[17] = Date(13, Sep, 2023);
+    dfs[17] = 0.874715322269088;
+    dates[18] = Date(15, Sep, 2025);
+    dfs[18] = 0.828658611114833;
+    dates[19] = Date(13, Sep, 2028);
+    dfs[19] = 0.763030152740947;
+    dates[20] = Date(13, Sep, 2030);
+    dfs[20] = 0.722238847877756;
+    dates[21] = Date(13, Sep, 2033);
+    dfs[21] = 0.664460629674362;
+    dates[22] = Date(13, Sep, 2038);
+    dfs[22] = 0.580288693473926;
+    dates[23] = Date(14, Sep, 2043);
+    dfs[23] = 0.510857007600479;
+    dates[24] = Date(14, Sep, 2048);
+    dfs[24] = 0.44941525649436;
+    dates[25] = Date(13, Sep, 2058);
+    dfs[25] = 0.352389176933952;
+    dates[26] = Date(13, Sep, 2068);
+    dfs[26] = 0.28183300653329;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+Handle<YieldTermStructure> GBPProjectionCurve() {
+
+    vector<Date> dates(25);
+    vector<DiscountFactor> dfs(25);
+    Actual365Fixed dayCounter;
+
+    dates[0] = Date(11, Sep, 2018);
+    dfs[0] = 1;
+    dates[1] = Date(13, Dec, 2018);
+    dfs[1] = 0.994134145990132;
+    dates[2] = Date(19, Dec, 2018);
+    dfs[2] = 0.993695776146116;
+    dates[3] = Date(20, Mar, 2019);
+    dfs[3] = 0.987047992958673;
+    dates[4] = Date(19, Jun, 2019);
+    dfs[4] = 0.980016364694049;
+    dates[5] = Date(18, Sep, 2019);
+    dfs[5] = 0.972708376777628;
+    dates[6] = Date(18, Dec, 2019);
+    dfs[6] = 0.965277162951128;
+    dates[7] = Date(18, Mar, 2020);
+    dfs[7] = 0.957799302363697;
+    dates[8] = Date(14, Sep, 2020);
+    dfs[8] = 0.943264331984248;
+    dates[9] = Date(13, Sep, 2021);
+    dfs[9] = 0.914816470778467;
+    dates[10] = Date(13, Sep, 2022);
+    dfs[10] = 0.88764714641623;
+    dates[11] = Date(13, Sep, 2023);
+    dfs[11] = 0.861475671008934;
+    dates[12] = Date(13, Sep, 2024);
+    dfs[12] = 0.835944798717806;
+    dates[13] = Date(15, Sep, 2025);
+    dfs[13] = 0.810833947617338;
+    dates[14] = Date(14, Sep, 2026);
+    dfs[14] = 0.78631849267276;
+    dates[15] = Date(13, Sep, 2027);
+    dfs[15] = 0.762267648509673;
+    dates[16] = Date(13, Sep, 2028);
+    dfs[16] = 0.738613627359076;
+    dates[17] = Date(13, Sep, 2029);
+    dfs[17] = 0.715502378943932;
+    dates[18] = Date(13, Sep, 2030);
+    dfs[18] = 0.693380472578176;
+    dates[19] = Date(13, Sep, 2033);
+    dfs[19] = 0.631097994110912;
+    dates[20] = Date(13, Sep, 2038);
+    dfs[20] = 0.540797634630251;
+    dates[21] = Date(14, Sep, 2043);
+    dfs[21] = 0.465599237331079;
+    dates[22] = Date(14, Sep, 2048);
+    dfs[22] = 0.402119473746341;
+    dates[23] = Date(13, Sep, 2058);
+    dfs[23] = 0.303129773289934;
+    dates[24] = Date(13, Sep, 2068);
+    dfs[24] = 0.23210070222569;
+
+    return Handle<YieldTermStructure>(ext::make_shared<DiscountCurve>(dates, dfs, dayCounter));
+}
+
+ext::shared_ptr<CrossCcyBasisSwap> makeBasisXCCY(Rate spotFx, Spread GBPSpread) {
+
+    // USD nominal
+    Real GBPNominal = 10000000.0;
+
+    // Dates and calendars
+    JointCalendar payCalendar = JointCalendar(UnitedStates(UnitedStates::Settlement), UnitedKingdom());
+    Date referenceDate = Settings::instance().evaluationDate();
+    referenceDate = payCalendar.adjust(referenceDate);
+    Date start = payCalendar.advance(referenceDate, 2 * Days);
+    Date end = start + 5 * Years;
+    Schedule schedule(start, end, 3 * Months, payCalendar, ModifiedFollowing, ModifiedFollowing,
+                      DateGeneration::Backward, false);
+
+    // Indices
+    auto USDindex = ext::make_shared<USDLibor>(3 * Months, USDProjectionCurve());
+    auto GBPindex = ext::make_shared<GBPLibor>(3 * Months, GBPProjectionCurve());
+
+    // Create swap
+    return ext::shared_ptr<CrossCcyBasisSwap>(new CrossCcyBasisSwap(
+        GBPNominal, GBPCurrency(), schedule, GBPindex, GBPSpread, 1.0, 
+		GBPNominal * spotFx, USDCurrency(), schedule, USDindex, 0.0, 1.0));
+}
+
+
+BOOST_AUTO_TEST_CASE(testBasisXCCYSwapPricing) {
+    BOOST_TEST_MESSAGE("Test cross currency basis swap pricing against known results");
+
+    SavedSettings backup;
+    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
+	bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();
+
+    // Create swap
+    Rate spotFx = 1;
+    Spread spread = 0;
+    auto xccy = makeBasisXCCY(spotFx, spread);
+
+    // Attach pricing engine
+    auto fxSpotQuote = makeQuoteHandle(spotFx);
+    auto engine = ext::make_shared<CrossCcySwapEngine>(
+        USDCurrency(), USDDiscountCurve(), GBPCurrency(), GBPDiscountCurve(), fxSpotQuote);
+
+    xccy->setPricingEngine(engine);
+
+    // Check values
+	Real tol = 0.01;
+	Real expectedNPV = usingAtParCoupons ? 0.0 : 0.0;
+
+	CHECK_XCCY_SWAP_RESULT("NPV", xccy->NPV(), expectedNPV, tol);
+
+	Real expBps = -4670.170509677384; // cached value
+	CHECK_XCCY_SWAP_RESULT("Leg 0 BPS", xccy->legBPS(0), expBps, tol);
+}
+
+BOOST_AUTO_TEST_SUITE_END()
+
+BOOST_AUTO_TEST_SUITE_END()
diff --git a/test-suite/testsuite.vcxproj b/test-suite/testsuite.vcxproj
index 24255aa8316..809045e08e0 100644
--- a/test-suite/testsuite.vcxproj
+++ b/test-suite/testsuite.vcxproj
@@ -684,6 +684,7 @@
     <ClCompile Include="covariance.cpp" />
     <ClCompile Include="creditdefaultswap.cpp" />
     <ClCompile Include="creditriskplus.cpp" />
+    <ClCompile Include="crossccybasisswap.cpp" />
     <ClCompile Include="crossccyfixfloatswap.cpp" />
     <ClCompile Include="crossccyswap.cpp" />
     <ClCompile Include="crosscurrencyratehelpers.cpp" />
diff --git a/test-suite/testsuite.vcxproj.filters b/test-suite/testsuite.vcxproj.filters
index 78bd90e0a33..67cfe7e0115 100644
--- a/test-suite/testsuite.vcxproj.filters
+++ b/test-suite/testsuite.vcxproj.filters
@@ -501,6 +501,9 @@
     <ClCompile Include="basisswapratehelpers.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="crossccybasisswap.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="crossccyfixfloatswap.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>

From 77e673f17c998282af66294a7498846a663c1901 Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Tue, 17 Jun 2025 19:23:11 +0200
Subject: [PATCH 14/18] Fix typo in crossccybasisswap filename in Makefile.am

---
 test-suite/Makefile.am | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index c2cc0714ff8..b1da5d76d4f 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -40,7 +40,7 @@ QL_TEST_SRCS = \
 	covariance.cpp \
 	creditdefaultswap.cpp \
 	creditriskplus.cpp \
-	crossccybasissswap.cpp \
+	crossccybasisswap.cpp \
 	crossccyfixfloatswap.cpp \
 	crossccyswap.cpp \
 	crosscurrencyratehelpers.cpp \

From e35c609ae3e94c4a7313dde75ad7ccaae53f6810 Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 17 Jun 2025 17:25:20 +0000
Subject: [PATCH 15/18] Update generated headers

---
 ql/instruments/all.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
index a6326bcbbf7..d2264fe3b28 100644
--- a/ql/instruments/all.hpp
+++ b/ql/instruments/all.hpp
@@ -20,6 +20,7 @@
 #include <ql/instruments/cpicapfloor.hpp>
 #include <ql/instruments/cpiswap.hpp>
 #include <ql/instruments/creditdefaultswap.hpp>
+#include <ql/instruments/crossccybasisswap.hpp>
 #include <ql/instruments/crossccyfixfloatswap.hpp>
 #include <ql/instruments/crossccyswap.hpp>
 #include <ql/instruments/dividendschedule.hpp>

From 496d95d6226bb2dcf699dca689799a55fe4f9f55 Mon Sep 17 00:00:00 2001
From: Paolo D'Elia <paolo.delia99@gmail.com>
Date: Thu, 19 Jun 2025 15:13:14 +0200
Subject: [PATCH 16/18] Add constructor docstring in crossccybasisswap.hpp

---
 ql/instruments/crossccybasisswap.hpp | 26 ++++++++++++++++++++++++--
 1 file changed, 24 insertions(+), 2 deletions(-)

diff --git a/ql/instruments/crossccybasisswap.hpp b/ql/instruments/crossccybasisswap.hpp
index 29b75120b77..f23f5b8c562 100644
--- a/ql/instruments/crossccybasisswap.hpp
+++ b/ql/instruments/crossccybasisswap.hpp
@@ -45,8 +45,30 @@ class CrossCcyBasisSwap : public CrossCcySwap {
     class results;
     //! \name Constructors
     //@{
-    /*! First leg holds the pay currency cashflows and the second leg
-        holds the receive currency cashflows.
+    /*!
+        \brief Constructs a cross-currency basis swap.
+
+        First leg holds the pay currency cashflows and the second leg holds the receive currency cashflows.
+        
+        \param payNominal         Notional amount for the pay leg.
+        \param payCurrency        Currency of the pay leg.
+        \param paySchedule        Payment schedule for the pay leg.
+        \param payIndex           Floating rate index for the pay leg.
+        \param paySpread          Spread over the floating rate for the pay leg.
+        \param payGearing         Gearing factor for the pay leg.
+        \param recNominal         Notional amount for the receive leg.
+        \param recCurrency        Currency of the receive leg.
+        \param recSchedule        Payment schedule for the receive leg.
+        \param recIndex           Floating rate index for the receive leg.
+        \param recSpread          Spread over the floating rate for the receive leg.
+        \param recGearing         Gearing factor for the receive leg.
+        \param payPaymentLag      Payment lag for the pay leg (default: 0).
+        \param recPaymentLag      Payment lag for the receive leg (default: 0).
+        \param payIncludeSpread   Optional flag to include the spread in the pay leg calculation (default: null).
+        \param payLookbackDays    Optional lookback days for the pay leg (default: null).
+        \param recIncludeSpread   Optional flag to include the spread in the receive leg calculation (default: null).
+        \param recLookbackDays    Optional lookback days for the receive leg (default: null).
+        \param telescopicValueDates Flag indicating whether telescopic value dates are used (default: false).
     */
     CrossCcyBasisSwap(
         Real payNominal, const Currency& payCurrency, const Schedule& paySchedule,

From 9c82a36e02280f4a95cc99ba20e23350ebbdad33 Mon Sep 17 00:00:00 2001
From: Paolo D'Elia <paolo.delia99@gmail.com>
Date: Thu, 19 Jun 2025 15:15:13 +0200
Subject: [PATCH 17/18] Add constructor docstring in crossccyfixfloatswap.hpp

---
 ql/instruments/crossccyfixfloatswap.hpp | 25 ++++++++++++++++++++++++-
 1 file changed, 24 insertions(+), 1 deletion(-)

diff --git a/ql/instruments/crossccyfixfloatswap.hpp b/ql/instruments/crossccyfixfloatswap.hpp
index 9048fc2bfda..78c7f67f39e 100644
--- a/ql/instruments/crossccyfixfloatswap.hpp
+++ b/ql/instruments/crossccyfixfloatswap.hpp
@@ -43,7 +43,30 @@ class CrossCcyFixFloatSwap : public CrossCcySwap {
 
     //! \name Constructors
     //@{
-    //! Detailed constructor
+    /*!
+        \brief Constructs a cross-currency fixed vs floating rate swap.
+
+        This instrument represents a cross-currency swap where one leg pays fixed-rate cashflows in one currency, 
+        and the other leg pays floating-rate cashflows in another currency.
+
+        \param type                  The type of the swap (Receiver or Payer).
+        \param fixedNominal          Notional amount for the fixed leg.
+        \param fixedCurrency         Currency of the fixed leg.
+        \param fixedSchedule         Payment schedule for the fixed leg.
+        \param fixedRate             Fixed interest rate for the fixed leg.
+        \param fixedDayCount         Day count convention for the fixed leg.
+        \param fixedPaymentBdc       Business day convention for fixed leg payments.
+        \param fixedPaymentLag       Payment lag for the fixed leg (default: 0).
+        \param fixedPaymentCalendar  Calendar for fixed leg payments.
+        \param floatNominal          Notional amount for the floating leg.
+        \param floatCurrency         Currency of the floating leg.
+        \param floatSchedule         Payment schedule for the floating leg.
+        \param floatIndex            Floating rate index for the floating leg.
+        \param floatSpread           Spread over the floating rate for the floating leg.
+        \param floatPaymentBdc       Business day convention for floating leg payments.
+        \param floatPaymentLag       Payment lag for the floating leg (default: 0).
+        \param floatPaymentCalendar  Calendar for floating leg payments.
+    */
     CrossCcyFixFloatSwap(Type type, Real fixedNominal, const Currency& fixedCurrency,
                          const Schedule& fixedSchedule, Rate fixedRate,
                          const DayCounter& fixedDayCount, BusinessDayConvention fixedPaymentBdc,

From 68c83530bbcf3414f7bae0cf937f97cd80ff2f2d Mon Sep 17 00:00:00 2001
From: paolodelia99 <paolo.delia99@gmail.com>
Date: Fri, 1 Aug 2025 15:18:54 +0200
Subject: [PATCH 18/18] Rename xccyswapengine constructor params

---
 ql/pricingengines/swap/crossccyswapengine.cpp | 44 +++++++++----------
 ql/pricingengines/swap/crossccyswapengine.hpp | 38 ++++++++--------
 2 files changed, 41 insertions(+), 41 deletions(-)

diff --git a/ql/pricingengines/swap/crossccyswapengine.cpp b/ql/pricingengines/swap/crossccyswapengine.cpp
index 85824299c6e..be9d07ef2ab 100644
--- a/ql/pricingengines/swap/crossccyswapengine.cpp
+++ b/ql/pricingengines/swap/crossccyswapengine.cpp
@@ -26,30 +26,30 @@
 
 namespace QuantLib {
 
-CrossCcySwapEngine::CrossCcySwapEngine(const Currency& ccy1, const Handle<YieldTermStructure>& currency1Discountcurve,
-                                       const Currency& ccy2, const Handle<YieldTermStructure>& currency2Discountcurve,
+CrossCcySwapEngine::CrossCcySwapEngine(const Currency& domesticCcy, const Handle<YieldTermStructure>& domesticCcyDiscountcurve,
+                                       const Currency& foreignCcy, const Handle<YieldTermStructure>& foreignCcyDiscountcurve,
                                        const Handle<Quote>& spotFX, ext::optional<bool> includeSettlementDateFlows,
                                        const Date& settlementDate, const Date& npvDate, const Date& spotFXSettleDate)
-    : ccy1_(ccy1), currency1Discountcurve_(currency1Discountcurve), ccy2_(ccy2),
-      currency2Discountcurve_(currency2Discountcurve), spotFX_(spotFX),
+    : domesticCcy_(domesticCcy), domesticCcyDiscountcurve_(domesticCcyDiscountcurve), foreignCcy_(foreignCcy),
+      foreignCcyDiscountcurve_(foreignCcyDiscountcurve), spotFX_(spotFX),
       includeSettlementDateFlows_(includeSettlementDateFlows), settlementDate_(settlementDate), npvDate_(npvDate),
       spotFXSettleDate_(spotFXSettleDate) {
 
-    registerWith(currency1Discountcurve_);
-    registerWith(currency2Discountcurve_);
+    registerWith(domesticCcyDiscountcurve_);
+    registerWith(foreignCcyDiscountcurve_);
     registerWith(spotFX_);
 }
 
 void CrossCcySwapEngine::calculate() const {
 
-    QL_REQUIRE(!currency1Discountcurve_.empty() && !currency2Discountcurve_.empty(),
+    QL_REQUIRE(!domesticCcyDiscountcurve_.empty() && !foreignCcyDiscountcurve_.empty(),
                "Discounting term structure handle is empty.");
 
     QL_REQUIRE(!spotFX_.empty(), "FX spot quote handle is empty.");
 
-    QL_REQUIRE(currency1Discountcurve_->referenceDate() == currency2Discountcurve_->referenceDate(),
+    QL_REQUIRE(domesticCcyDiscountcurve_->referenceDate() == foreignCcyDiscountcurve_->referenceDate(),
                "Term structures should have the same reference date.");
-    Date referenceDate = currency1Discountcurve_->referenceDate();
+    Date referenceDate = domesticCcyDiscountcurve_->referenceDate();
     Date settlementDate = settlementDate_;
     if (settlementDate_ == Date()) {
         settlementDate = referenceDate;
@@ -101,13 +101,13 @@ void CrossCcySwapEngine::calculate() const {
         try {
             // Choose the correct discount curve for the leg.
             Handle<YieldTermStructure> legDiscountCurve;
-            if (arguments_.currencies[legNo] == ccy1_) {
-                legDiscountCurve = currency1Discountcurve_;
+            if (arguments_.currencies[legNo] == domesticCcy_) {
+                legDiscountCurve = domesticCcyDiscountcurve_;
             } else {
-                QL_REQUIRE(arguments_.currencies[legNo] == ccy2_, "leg ccy (" << arguments_.currencies[legNo]
-                                                                              << ") must be ccy1 (" << ccy1_
-                                                                              << ") or ccy2 (" << ccy2_ << ")");
-                legDiscountCurve = currency2Discountcurve_;
+                QL_REQUIRE(arguments_.currencies[legNo] == foreignCcy_, "leg ccy (" << arguments_.currencies[legNo]
+                                                                              << ") must be domesticCcy (" << domesticCcy_
+                                                                              << ") or foreignCcy (" << foreignCcy_ << ")");
+                legDiscountCurve = foreignCcyDiscountcurve_;
             }
             results_.npvDateDiscounts[legNo] = legDiscountCurve->discount(results_.valuationDate);
 
@@ -122,7 +122,7 @@ void CrossCcySwapEngine::calculate() const {
             results_.legBPS[legNo] = results_.inCcyLegBPS[legNo];
 
             // Convert to NPV currency if necessary.
-            if (arguments_.currencies[legNo] != ccy1_) {
+            if (arguments_.currencies[legNo] != domesticCcy_) {
                 // results_.legNPV[legNo] *= spotFX_->value();
                 // results_.legBPS[legNo] *= spotFX_->value();
 				Real spotFXRate = spotFX_->value();
@@ -130,11 +130,11 @@ void CrossCcySwapEngine::calculate() const {
 					// Use the parity relation between discount factors and fx rates to compute spotFXRate
 					// Generic formula: fx(T1)/fx(T2) = FwdDF_Quote(T1->T2) / FwdDF_Base(T1->T2),
                     // where fx represents the currency ratio Base/Quote
-					Real ccy1DF = currency1Discountcurve_->discount(spotFXSettleDate);
-					Real ccy2DF = currency2Discountcurve_->discount(spotFXSettleDate);
-					QL_REQUIRE(ccy2DF != 0.0, "Discount Factor associated with currency " << ccy2_
+					Real domesticCcyDF = domesticCcyDiscountcurve_->discount(spotFXSettleDate);
+					Real foreignCcyDF = foreignCcyDiscountcurve_->discount(spotFXSettleDate);
+					QL_REQUIRE(foreignCcyDF != 0.0, "Discount Factor associated with currency " << foreignCcy_
                                                  << " at maturity " << spotFXSettleDate << " cannot be zero");
-					spotFXRate *= ccy1DF / ccy2DF;
+					spotFXRate *= domesticCcyDF / foreignCcyDF;
 				}
 				results_.legNPV[legNo] *= spotFXRate;
 				results_.legBPS[legNo] *= spotFXRate;
@@ -142,14 +142,14 @@ void CrossCcySwapEngine::calculate() const {
 
             // Get start date and end date discount for the leg
             Date startDate = CashFlows::startDate(arguments_.legs[legNo]);
-            if (startDate >= currency1Discountcurve_->referenceDate()) {
+            if (startDate >= domesticCcyDiscountcurve_->referenceDate()) {
                 results_.startDiscounts[legNo] = legDiscountCurve->discount(startDate);
             } else {
                 results_.startDiscounts[legNo] = Null<DiscountFactor>();
             }
 
             Date maturityDate = CashFlows::maturityDate(arguments_.legs[legNo]);
-            if (maturityDate >= currency1Discountcurve_->referenceDate()) {
+            if (maturityDate >= domesticCcyDiscountcurve_->referenceDate()) {
                 results_.endDiscounts[legNo] = legDiscountCurve->discount(maturityDate);
             } else {
                 results_.endDiscounts[legNo] = Null<DiscountFactor>();
diff --git a/ql/pricingengines/swap/crossccyswapengine.hpp b/ql/pricingengines/swap/crossccyswapengine.hpp
index a5cf0faf34a..07e777fcef3 100644
--- a/ql/pricingengines/swap/crossccyswapengine.hpp
+++ b/ql/pricingengines/swap/crossccyswapengine.hpp
@@ -37,27 +37,27 @@ namespace QuantLib {
 //! Cross currency swap engine
 
 /*! This class implements an engine for pricing swaps comprising legs that
-    involve two currencies. The npv is expressed in ccy1. The given currencies
-    ccy1 and ccy2 are matched to the correct swap legs. The evaluation date is the
+    involve two currencies. The npv is expressed in domesticCcy. The given currencies
+    domesticCcy and foreignCcy are matched to the correct swap legs. The evaluation date is the
     reference date of either discounting curve (which must be equal).
 
-            \ingroup engines
+   \ingroup engines
 */
 class CrossCcySwapEngine : public CrossCcySwap::engine {
 public:
     //! \name Constructors
     //@{
-    /*! \param ccy1
+    /*! \param domesticCcy
                Currency 1
-        \param currency1DiscountCurve
+        \param domesitcCcyDiscountCurve
                Discount curve for cash flows in currency 1
-        \param ccy2
+        \param foreignCcy
                Currency 2
-        \param currency2DiscountCurve
+        \param foreignCcyDiscountCurve
                Discount curve for cash flows in currency 2
         \param spotFX
-               The market spot rate quote, given as units of ccy1
-               for one unit of ccy2. The spot rate must be given
+               The market spot rate quote, given as units of domesticCcy
+               for one unit of foreignCcy. The spot rate must be given
                w.r.t. a settlement equal to the npv date.
         \param includeSettlementDateFlows, settlementDate
                If includeSettlementDateFlows is true (false), cashflows
@@ -70,8 +70,8 @@ class CrossCcySwapEngine : public CrossCcySwap::engine {
         \param spotFXSettleDate
                FX conversion as of this date if specified explicitly
     */
-    CrossCcySwapEngine(const Currency& ccy1, const Handle<YieldTermStructure>& currency1DiscountCurve,
-                       const Currency& ccy2, const Handle<YieldTermStructure>& currency2DiscountCurve,
+    CrossCcySwapEngine(const Currency& domesticCcy, const Handle<YieldTermStructure>& domesitcCcyDiscountCurve,
+                       const Currency& foreignCcy, const Handle<YieldTermStructure>& foreignCcyDiscountCurve,
                        const Handle<Quote>& spotFX, ext::optional<bool> includeSettlementDateFlows = ext::nullopt,
                        const Date& settlementDate = Date(), const Date& npvDate = Date(), const Date& spotFXSettleDate = Date());
     //@}
@@ -83,20 +83,20 @@ class CrossCcySwapEngine : public CrossCcySwap::engine {
 
     //! \name Inspectors
     //@{
-    const Handle<YieldTermStructure>& currency1DiscountCurve() const { return currency1Discountcurve_; }
-    const Handle<YieldTermStructure>& currency2DiscountCurve() const { return currency2Discountcurve_; }
+    const Handle<YieldTermStructure>& domesitcCcyDiscountCurve() const { return domesticCcyDiscountcurve_; }
+    const Handle<YieldTermStructure>& foreignCcyDiscountCurve() const { return foreignCcyDiscountcurve_; }
 
-    const Currency& currency1() const { return ccy1_; }
-    const Currency& currency2() const { return ccy2_; }
+    const Currency& currency1() const { return domesticCcy_; }
+    const Currency& currency2() const { return foreignCcy_; }
 
     const Handle<Quote>& spotFX() const { return spotFX_; }
     //@}
 
 private:
-    Currency ccy1_;
-    Handle<YieldTermStructure> currency1Discountcurve_;
-    Currency ccy2_;
-    Handle<YieldTermStructure> currency2Discountcurve_;
+    Currency domesticCcy_;
+    Handle<YieldTermStructure> domesticCcyDiscountcurve_;
+    Currency foreignCcy_;
+    Handle<YieldTermStructure> foreignCcyDiscountcurve_;
     Handle<Quote> spotFX_;
     ext::optional<bool> includeSettlementDateFlows_;
     Date settlementDate_;