Fair Spread

Function Fair Spread within Currency Swap Old with keys Currency Swap Old Fair Spread keysreturns the basis spread that the referenced swap needs to have at one of its legs in order to have a net present value of zero.
This function takes two pairs of yield curves (i.e. a total of four curves) as input:
Each pair references the index associated with one of the two legs.
Even if a leg is fixed, an associated index may be always considered by interpreting the coupons as floating with gearing = 0.
One curve in each pair is used for forecasting the future index resets and the other for discounting all cash flows back to the present.