CrossCcySwapEngine Class Reference

Cross currency swap engine. More...

#include <qle/pricingengines/crossccyswapengine.hpp>

Inheritance diagram for CrossCcySwapEngine:

Public Member Functions
Constructors
	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, const Date &settlementDate=Date(), const Date &npvDate=Date(), const Date &spotFXSettleDate=Date())
PricingEngine interface
void	calculate () const override

Inspectors
const Handle< YieldTermStructure > &	currency1DiscountCurve () const
const Handle< YieldTermStructure > &	currency2DiscountCurve () const
const Currency &	currency1 () const
const Currency &	currency2 () const
const Handle< Quote > &	spotFX () const

Detailed Description

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

Constructor & Destructor Documentation

CrossCcySwapEngine()

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,
		const Date &	settlementDate = Date(),
		const Date &	npvDate = Date(),
		const Date &	spotFXSettleDate = Date()
	)

Parameters

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