FX Forward More...

#include <qle/instruments/fxforward.hpp>

Inheritance diagram for FxForward:

Collaboration diagram for FxForward:

Classes
class	arguments

class	engine

class	results

Public Member Functions
Constructors
	FxForward (const Real &nominal1, const Currency &currency1, const Real &nominal2, const Currency &currency2, const Date &maturityDate, const bool &payCurrency1, const bool isPhysicallySettled=true, const Date &payDate=Date(), const Currency &payCcy=Currency(), const Date &fixingDate=Date(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, bool includeSettlementDateFlows=false)

	FxForward (const Money &nominal1, const ExchangeRate &forwardRate, const Date &forwardDate, bool sellingNominal, const bool isPhysicallySettled=true, const Date &payDate=Date(), const Currency &payCcy=Currency(), const Date &fixingDate=Date(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, bool includeSettlementDateFlows=false)

	FxForward (const Money &nominal1, const Handle< Quote > &fxForwardQuote, const Currency &currency2, const Date &maturityDate, bool sellingNominal, const bool isPhysicallySettled=true, const Date &payDate=Date(), const Currency &payCcy=Currency(), const Date &fixingDate=Date(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, bool includeSettlementDateFlows=false)

Results
const Money &	npvMoney () const
	Return NPV as money (the price currency is set in the pricing engine) More...

const ExchangeRate &	fairForwardRate () const
	Return the fair FX forward rate. More...

Additional interface
Real	currency1Nominal () const

Real	currency2Nominal () const

Currency	currency1 () const

Currency	currency2 () const

Date	maturityDate () const

Date	payDate () const

Currency	payCcy () const

QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex () const

bool	payCurrency1 () const

Instrument interface
Real	nominal1_

Currency	currency1_

Real	nominal2_

Currency	currency2_

Date	maturityDate_

bool	payCurrency1_

bool	isPhysicallySettled_

Date	payDate_

Currency	payCcy_

QuantLib::ext::shared_ptr< FxIndex >	fxIndex_

Date	fixingDate_

bool	includeSettlementDateFlows_

Money	npv_

ExchangeRate	fairForwardRate_

bool	isExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

void	fetchResults (const PricingEngine::results *) const override

void	setupExpired () const override

Detailed Description

FX Forward

This class holds the term sheet data for an FX Forward instrument.

\ingroup instruments

Definition at line 44 of file fxforward.hpp.

Constructor & Destructor Documentation

◆ FxForward() [1/3]

FxForward	(	const Real &	nominal1,
		const Currency &	currency1,
		const Real &	nominal2,
		const Currency &	currency2,
		const Date &	maturityDate,
		const bool &	payCurrency1,
		const bool	isPhysicallySettled = `true`,
		const Date &	payDate = `Date()`,
		const Currency &	payCcy = `Currency()`,
		const Date &	fixingDate = `Date()`,
		const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndex = `nullptr`,
		bool	includeSettlementDateFlows = `false`
	)

Parameters

nominal1,currency1	There are nominal1 units of currency1.
nominal2,currency2	There are nominal2 units of currency2.
maturityDate	Date on which currency amounts are exchanged.
payCurrency1	Pay nominal1 if true, otherwise pay nominal2.
isPhysicallySettled	if true fx forward is physically settled
payDate	Date on which the cashflows are exchanged
payCcy	If cash settled, the settlement currency
fixingDate	If cash settled, the fixing date
fxIndex	If cash settled, the FX index from which to take the fixing on the fixing date
includeSettlementDateFlows	If true, we include cash flows on valuation date into the NPV calculation

Definition at line 27 of file fxforward.cpp.

    : nominal1_(nominal1), currency1_(currency1), nominal2_(nominal2), currency2_(currency2),
      maturityDate_(maturityDate), payCurrency1_(payCurrency1), isPhysicallySettled_(isPhysicallySettled),
      payDate_(payDate), payCcy_(payCcy), fxIndex_(fxIndex), fixingDate_(fixingDate),
      includeSettlementDateFlows_(includeSettlementDateFlows) {
 
    if (payDate_ == Date())
        payDate_ = maturityDate_;
 
    if (fixingDate_ == Date())
        fixingDate_ = maturityDate_;
 
    if (!isPhysicallySettled && payDate_ > fixingDate_) {
        QL_REQUIRE(fxIndex_, "FxForward: no FX index given for non-deliverable forward.");
        QL_REQUIRE(fixingDate_ != Date(), "FxForward: no FX fixing date given for non-deliverable forward.");
        registerWith(fxIndex_);
    }
}

◆ FxForward() [2/3]

FxForward	(	const Money &	nominal1,
		const ExchangeRate &	forwardRate,
		const Date &	forwardDate,
		bool	sellingNominal,
		const bool	isPhysicallySettled = `true`,
		const Date &	payDate = `Date()`,
		const Currency &	payCcy = `Currency()`,
		const Date &	fixingDate = `Date()`,
		const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndex = `nullptr`,
		bool	includeSettlementDateFlows = `false`
	)

Parameters

nominal1	FX forward nominal amount (domestic currency)
forwardRate	FX rate of the exchange
forwardDate	Date of the exchange.
sellingNominal	Sell (pay) nominal1 if true, otherwise buy (receive) nominal.
isPhysicallySettled	if true fx forward is physically settled
payDate	Date on which the cashflows are exchanged
payCcy	If cash settled, the settlement currency
fixingDate	If cash settled, the fixing date
fxIndex	If cash settled, the FX index from which to take the fixing on the fixing date
includeSettlementDateFlows	If true, we include cash flows on valuation date into the NPV calculation

Definition at line 50 of file fxforward.cpp.

    : nominal1_(nominal1.value()), currency1_(nominal1.currency()), maturityDate_(maturityDate),
      payCurrency1_(sellingNominal), isPhysicallySettled_(isPhysicallySettled), payDate_(payDate), payCcy_(payCcy),
      fxIndex_(fxIndex), fixingDate_(fixingDate), includeSettlementDateFlows_(includeSettlementDateFlows) {
 
    QL_REQUIRE(currency1_ == forwardRate.target(), "Currency of nominal1 does not match target (domestic) "
                                                   "currency in the exchange rate.");
 
    Money otherNominal = forwardRate.exchange(nominal1);
    nominal2_ = otherNominal.value();
    currency2_ = otherNominal.currency();
 
    if (payDate_ == Date())
        payDate_ = maturityDate_;
 
    if (fixingDate_ == Date())
        fixingDate_ = maturityDate_;
 
    if (!isPhysicallySettled && payDate_ > fixingDate_) {
        QL_REQUIRE(fxIndex_, "FxForward: no FX index given for non-deliverable forward.");
        QL_REQUIRE(fixingDate_ != Date(), "FxForward: no FX fixing date given for non-deliverable forward.");
        registerWith(fxIndex_);
    }
}

◆ FxForward() [3/3]

FxForward	(	const Money &	nominal1,
		const Handle< Quote > &	fxForwardQuote,
		const Currency &	currency2,
		const Date &	maturityDate,
		bool	sellingNominal,
		const bool	isPhysicallySettled = `true`,
		const Date &	payDate = `Date()`,
		const Currency &	payCcy = `Currency()`,
		const Date &	fixingDate = `Date()`,
		const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndex = `nullptr`,
		bool	includeSettlementDateFlows = `false`
	)

Parameters

nominal1	FX forward nominal amount 1 (domestic currency)
fxForwardQuote	FX forward quote giving the rate in domestic units per one foreign unit
currency2	currency for nominal2 (foreign currency)
maturityDate	FX Forward maturity date
sellingNominal	Sell (pay) nominal1 if true, otherwise buy (receive) nominal1.
isPhysicallySettled	if true fx forward is physically settled
payDate	Date on which the cashflows are exchanged
payCcy	If cash settled, the settlement currency
fixingDate	If cash settled, the fixing date
fxIndex	If cash settled, the FX index from which to take the fixing on the fixing date
includeSettlementDateFlows	If true, we include cash flows on valuation date into the NPV calculation

Definition at line 78 of file fxforward.cpp.

    : nominal1_(nominal1.value()), currency1_(nominal1.currency()), currency2_(currency2), maturityDate_(maturityDate),
      payCurrency1_(sellingNominal), isPhysicallySettled_(isPhysicallySettled), payDate_(payDate), payCcy_(payCcy),
      fxIndex_(fxIndex), fixingDate_(fixingDate), includeSettlementDateFlows_(includeSettlementDateFlows) {
 
    QL_REQUIRE(fxForwardQuote->isValid(), "The FX Forward quote is not valid.");
 
    nominal2_ = nominal1_ / fxForwardQuote->value();
 
    if (payDate_ == Date())
        payDate_ = maturityDate_;
 
    if (fixingDate_ == Date())
        fixingDate_ = maturityDate_;
 
    if (!isPhysicallySettled && payDate_ > fixingDate_) {
        QL_REQUIRE(fxIndex_, "FxForward: no FX index given for non-deliverable forward.");
        QL_REQUIRE(fixingDate_ != Date(), "FxForward: no FX fixing date given for non-deliverable forward.");
        registerWith(fxIndex_);
    }
}

Member Function Documentation

◆ npvMoney()

const Money & npvMoney ( ) const

Return NPV as money (the price currency is set in the pricing engine)

Definition at line 139 of file fxforward.hpp.

                                  {
        calculate();
        return npv_;
    }

◆ fairForwardRate()

const ExchangeRate & fairForwardRate ( ) const

Return the fair FX forward rate.

Definition at line 144 of file fxforward.hpp.

                                                {
        calculate();
        return fairForwardRate_;
    }

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◆ isExpired()

bool isExpired ( ) const

override

Definition at line 104 of file fxforward.cpp.

                                {
    Date p = includeSettlementDateFlows_ ? payDate_ + 1*Days : payDate_;
    return detail::simple_event(p).hasOccurred();
}

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * args ) const

override

Definition at line 115 of file fxforward.cpp.

                                                                 {
 
    FxForward::arguments* arguments = dynamic_cast<FxForward::arguments*>(args);
 
    QL_REQUIRE(arguments, "wrong argument type in fxforward");
 
    arguments->nominal1 = nominal1_;
    arguments->currency1 = currency1_;
    arguments->nominal2 = nominal2_;
    arguments->currency2 = currency2_;
    arguments->maturityDate = maturityDate_;
    arguments->payCurrency1 = payCurrency1_;
    arguments->isPhysicallySettled = isPhysicallySettled_;
    arguments->payDate = payDate_;
    arguments->payCcy = payCcy_;
    arguments->fxIndex = fxIndex_;
    arguments->fixingDate = fixingDate_;
    arguments->includeSettlementDateFlows = includeSettlementDateFlows_;
}

◆ fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

override

Definition at line 135 of file fxforward.cpp.

                                                                {
 
    Instrument::fetchResults(r);
 
    const FxForward::results* results = dynamic_cast<const FxForward::results*>(r);
 
    QL_REQUIRE(results, "wrong result type");
 
    npv_ = results->npv;
    fairForwardRate_ = results->fairForwardRate;
}

◆ currency1Nominal()

Real currency1Nominal ( ) const

Definition at line 159 of file fxforward.hpp.

159{ return nominal1_; }

◆ currency2Nominal()

Real currency2Nominal ( ) const

Definition at line 160 of file fxforward.hpp.

160{ return nominal2_; }

◆ currency1()

Currency currency1 ( ) const

Definition at line 161 of file fxforward.hpp.

161{ return currency1_; }

◆ currency2()

Currency currency2 ( ) const

Definition at line 162 of file fxforward.hpp.

162{ return currency2_; }

◆ maturityDate()

Date maturityDate ( ) const

Definition at line 163 of file fxforward.hpp.

163{ return maturityDate_; }

◆ payDate()

Date payDate ( ) const

Definition at line 164 of file fxforward.hpp.

164{ return payDate_; }

◆ payCcy()

Currency payCcy ( ) const

Definition at line 165 of file fxforward.hpp.

165{ return payCcy_; }

◆ fxIndex()

QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex ( ) const

Definition at line 166 of file fxforward.hpp.

166{ return fxIndex_; }

◆ payCurrency1()

bool payCurrency1 ( ) const

Definition at line 167 of file fxforward.hpp.

167{ return payCurrency1_; }

◆ setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 109 of file fxforward.cpp.

                                   {
    Instrument::setupExpired();
    npv_ = Money(0.0, Currency());
    fairForwardRate_ = ExchangeRate();
}

Member Data Documentation

◆ nominal1_

Real nominal1_

private

Definition at line 176 of file fxforward.hpp.

◆ currency1_

Currency currency1_

private

Definition at line 177 of file fxforward.hpp.

◆ nominal2_

Real nominal2_

private

Definition at line 178 of file fxforward.hpp.

◆ currency2_

Currency currency2_

private

Definition at line 179 of file fxforward.hpp.

◆ maturityDate_

Date maturityDate_

private

Definition at line 180 of file fxforward.hpp.

◆ payCurrency1_

bool payCurrency1_

private

Definition at line 181 of file fxforward.hpp.

◆ isPhysicallySettled_

bool isPhysicallySettled_

private

Definition at line 182 of file fxforward.hpp.

◆ payDate_

Date payDate_

private

Definition at line 183 of file fxforward.hpp.

◆ payCcy_

Currency payCcy_

private

Definition at line 184 of file fxforward.hpp.

◆ fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 185 of file fxforward.hpp.

◆ fixingDate_

Date fixingDate_

private

Definition at line 186 of file fxforward.hpp.

◆ includeSettlementDateFlows_

bool includeSettlementDateFlows_

private

Definition at line 187 of file fxforward.hpp.

◆ npv_

Money npv_

mutableprivate

Definition at line 190 of file fxforward.hpp.

◆ fairForwardRate_

ExchangeRate fairForwardRate_

mutableprivate

Definition at line 191 of file fxforward.hpp.

Classes

Public Member Functions

Instrument interface

Detailed Description

Constructor & Destructor Documentation

◆ FxForward() [1/3]

◆ FxForward() [2/3]

◆ FxForward() [3/3]

Member Function Documentation

◆ npvMoney()

◆ fairForwardRate()

◆ isExpired()

◆ setupArguments()

◆ fetchResults()

◆ currency1Nominal()

◆ currency2Nominal()

◆ currency1()

◆ currency2()

◆ maturityDate()

◆ payDate()

◆ payCcy()

◆ fxIndex()

◆ payCurrency1()

◆ setupExpired()

Member Data Documentation

◆ nominal1_

◆ currency1_

◆ nominal2_

◆ currency2_

◆ maturityDate_

◆ payCurrency1_

◆ isPhysicallySettled_

◆ payDate_

◆ payCcy_

◆ fxIndex_

◆ fixingDate_

◆ includeSettlementDateFlows_

◆ npv_

◆ fairForwardRate_