Ccy Swap Crv


Key Ccy Swap Crv in
ImpYC XCCY Disc refers to the yield curve - expressed as an object of type Yield Curve - associated with the cross currency basis swap market rates.
It is expected to be created using as input to its
Market Data key an object of type Yield Curve Fxb that provides the spreads paid on the SRC leg, as required by the methodology described in ImplSrcFltTgtFxd
In fact, only the latter object is used in the construction of the final curve.
The discount factors implied by the Yield Curve object defined here are completely ignored!
The only reason for supplying this object rather than its smaller Yield Curve Fxb part has technical grounds that have to do with the calculation of various sensitivities.