ImpYC XCCY Disc


ImpYC XCCY Disc is a direct subtype of ImpYC
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with functions ImpYC XCCY Disc Functions, keys ImpYC XCCY Disc keys and example object ImpYCxCcyDisc

TYPE INCLUSION RELATIONSHIPS

ImpYC

ImpYC XCCY Disc

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Adjust Fxd Rates

Ccy Swap Crv

Ccy Swaps Type

FX Fwd Crv

Method

Src Disc Crv

Src Forc Crv

Tgt Mkt Crv

Use FX Forwards

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TYPICAL OBJECTS OF TYPE ImpYC XCCY Disc

ImpYCxCcyDisc

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This type represents the input data required to build a discounting curve (i.e. an object of type Yield Curve), referred to as TARGET CURVE below, in a given target currency TGT that is implied by a known discounting curve in another source currency SRC.

Web blog example here

Technically, the TARGET CURVE is created by feeding an object of the ImpYC XCCY Disc type as value next to the key Market Data in the formula that creates the TARGET CURVE
Concretely:

The known SRC discounting curve represents the interest rate cost associated with a collateral account that is presumably held in the source currencySRC as a hedge against a possible default on the cash flows in the target currency TGT in the context of a derivative transaction - such as a swap - in TGT.
The theory of no arbitrage prescribes that in this case all TGT cash flows must be discounted using a special TGT discounting curve that reflects the cost of maintaining the SRC collateral account.
This special TARGET CURVE is produced with the data provided here.