Many airlines mainly in the Far East, and the Middle East do have free housing, education, or allowances for that.
However such a thing is not foreseen at Cargolux.
Some contract-captains I think have hotel accomodation included in their deal.
This is not available for employees.
I think tom de luxe is about right with his numbers. Housing in Luxemburg is very very expensive.
Living across the border is an option though. Since most of our flying takes place around the globe, the number of drives to the airport is quite limited, so a 30 minutes drive is absolutely acceptable. You are looking at 2 to 3 departures from Luxemburg within a roster.
If you share a place in Germany with another pilot, you may bring the cost further down, and for most of the days, you will have the place for yourself, since the other guy might well be flying.
For you guys that are considering becoming expats, the deal in Luxemburg is different from the asian carriers. You do not have the housing and school allowances.
What you have though is a european retirement system, that will consider insured times from other EU countries. When you retire, you will still have health insurance as a retiree. For someone coming back from overseas, that might not be the case, and then you start spending a lot of the money you made, to get insurance.
Just to repeat what CR2 has written above:
Commuting is your choice and your responsibility. You should have a place to rest before the flights, and you are supposed to show up well rested for a flight by law.
Showing up tired, for a long flight with augmented crew, and expecting to get the first rest, will not get you too many friends in the long run.