DiscountingFxForwardEngine Class Reference

Discounting FX Forward Engine. More...

#include <qle/pricingengines/discountingfxforwardengine.hpp>

Inheritance diagram for DiscountingFxForwardEngine:

Public Member Functions
	DiscountingFxForwardEngine (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())
void	calculate () const override
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

Discounting FX Forward Engine.

This class implements pricing of FX Forwards by discounting the future nominal cash flows using the respective yield curves. The npv is expressed in ccy1. The given currencies ccy1 and ccy2 are matched to the correct fx forward legs. The evaluation date is the reference date of either discounting curve (which must be equal).

    \ingroup engines

Constructor & Destructor Documentation

DiscountingFxForwardEngine()

DiscountingFxForwardEngine	(	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()
	)

Parameters

ccy1,currency1Discountcurve	Currency 1 and its discount curve.y
ccy2,currency2Discountcurve	Currency 2 and its discount curve.
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.
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