Cross currency swap engine. More...
#include <qle/pricingengines/crossccyswapengine.hpp>
Public Member Functions | |
Constructors | |
CrossCcySwapEngine (const Currency &ccy1, const Handle< YieldTermStructure > ¤cy1DiscountCurve, const Currency &ccy2, const Handle< YieldTermStructure > ¤cy2DiscountCurve, const Handle< Quote > &spotFX, boost::optional< bool > includeSettlementDateFlows=boost::none, const Date &settlementDate=Date(), const Date &npvDate=Date(), const Date &spotFXSettleDate=Date()) | |
PricingEngine interface | |
void | calculate () const override |
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
CrossCcySwapEngine | ( | const Currency & | ccy1, |
const Handle< YieldTermStructure > & | currency1DiscountCurve, | ||
const Currency & | ccy2, | ||
const Handle< YieldTermStructure > & | currency2DiscountCurve, | ||
const Handle< Quote > & | spotFX, | ||
boost::optional< bool > | includeSettlementDateFlows = boost::none , |
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const Date & | settlementDate = Date() , |
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const Date & | npvDate = Date() , |
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const Date & | spotFXSettleDate = Date() |
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) |
ccy1 | Currency 1 |
currency1DiscountCurve | Discount curve for cash flows in currency 1 |
ccy2 | Currency 2 |
currency2DiscountCurve | Discount curve for cash flows in currency 2 |
spotFX | The market spot rate quote, given as units of ccy1 for one unit of cc2. The spot rate must be given w.r.t. a settlement equal to the npv date. |
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. |
npvDate | Discount to this date. If not given the npv date is set to the evaluation date |
spotFXSettleDate | FX conversion as of this date if specified explicitly |