Class DiscountingFxForwardEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The discounting engine for FxForward: each leg discounted on its currency's curve from the settlement date to maturity, the target leg converted at the spot rate, and the result discounted to each curve's reference date.

public static class DiscountingFxForwardEngine

Inheritance: object

DiscountingFxForwardEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

In the source currency, the NPV is (±N_source·D_source(τ,T) ∓ N_target·D_target(τ,T) / S)·D_source(τ), the signs by the side paid, where D(τ,T) is a curve's discount factor from the settlement date τ to the maturity T and S the spot rate, units of the target per unit of the source; the fair forward rate is S·D_source(τ,T) / D_target(τ,T). The results' NPV is the source currency's, and each NPV is as of its own curve's reference date.

The additional results are QuantLib's: "spotFx", "sourceCurrencyDiscountFactor", "targetCurrencyDiscountFactor", "sourceCurrencySettlementDiscountFactor", "targetCurrencySettlementDiscountFactor", "sourceCurrencyPV" and "targetCurrencyPV". QuantLib's inspectors of the engine's curves and quote aren't ported: they are the arguments.

Methods

Calculate(FxForward, EvaluationContext, YieldTermStructure, YieldTermStructure, double)

Prices an FX forward.

public static FxForwardResults Calculate(FxForward forward, EvaluationContext context, YieldTermStructure sourceCurrencyDiscountCurve, YieldTermStructure targetCurrencyDiscountCurve, double spotFx)

Parameters

forward FxForward: The forward.
context EvaluationContext: The evaluation context, whose evaluation date sets the settlement date.
sourceCurrencyDiscountCurve YieldTermStructure: The source currency's discount curve.
targetCurrencyDiscountCurve YieldTermStructure: The target currency's discount curve.
spotFx double: The spot rate, units of the target currency per unit of the source.

Returns

FxForwardResults: The forward's results.

Exceptions

ArgumentNullException: The forward, the context or a curve is null, a curve with QuantLib's text.
ArgumentException: A curve's reference date is after the settlement date, or the spot rate isn't positive.
NanoQLException: A curve can't be read at the settlement or maturity date.