By ‘Mark-To-Market’ I mean cross-currency swaps with resetting notionals. As far as I know, many cross-currency basis quotes are meant for this type of swaps rather than for constant notional ones.
One may decide to value all the cash-flows only with yield curves and simply bootstrap the cross-currency curve under this assumption. But in principle there should be a quanto in the pricing of such swaps, and I’d expect to need a hybrid FX-IR model to calculate it.
Has somebody seen that done somewhere, or is this issue always handled by a simple quanto-less bootstrap?