discountingfxforwardengine.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file qle/pricingengines/discountingfxforwardengine.hpp
    \brief Engine to value an FX Forward off two yield curves
 
    \ingroup engines
*/
 
#ifndef quantext_discounting_fxforward_engine_hpp
#define quantext_discounting_fxforward_engine_hpp
 
#include <ql/termstructures/yieldtermstructure.hpp>
 
#include <qle/instruments/fxforward.hpp>
 
namespace QuantExt {
 
//! 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
*/
class DiscountingFxForwardEngine : public FxForward::engine {
public:
    /*! \param ccy1, currency1Discountcurve
               Currency 1 and its discount curve.y
        \param ccy2, currency2Discountcurve
               Currency 2 and its discount curve.
        \param 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.
        \param 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.
        \param npvDate
               Discount to this date. If not given the npv date
               is set to the evaluation date
    */
    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 { return currency1Discountcurve_; }
 
    const Handle<YieldTermStructure>& currency2Discountcurve() const { return currency2Discountcurve_; }
 
    const Currency& currency1() const { return ccy1_; }
    const Currency& currency2() const { return ccy2_; }
 
    const Handle<Quote>& spotFX() const { return spotFX_; }
 
private:
    Currency ccy1_;
    Handle<YieldTermStructure> currency1Discountcurve_;
    Currency ccy2_;
    Handle<YieldTermStructure> currency2Discountcurve_;
    Handle<Quote> spotFX_;
    boost::optional<bool> includeSettlementDateFlows_;
    Date settlementDate_;
    Date npvDate_;
};
} // namespace QuantExt
 
#endif