Create a curve to be used for FX rate forecasting.

Description

Create a curve to be used for FX rate forecasting.

Example Sheet

GeneralSwap.xlsx

Arguments

  • objectName The name that this object will be assigned on the map. Should be unique.
  • currencyPair (CurrencyPair)The currency pair that the curve forecasts.
  • fxRateAtAnchorDate (Double)The rate at the anchor date of the two curves.
  • baseCurrencyFXBasisCurve (IDiscountingSource)A curve that will be used to obtain forward rates.
  • counterCurrencyFXBasisCurve (IDiscountingSource)A curve that will be used to obtain forward rates.