Use FX Forwards


Key Use FX Forwards in
ImpYC XCCY Disc refers to a boolean that determines whether market rates of FX Forwards should be used to contruct a portion (usually the short end) of the target currency TGT discounting yield curve.
The default is FALSE, whereby no FX forward rates are required as input.
With the TRUE setting, some of the TGT discount factors are derived directly from given FX forward rates based on the usual parity equation that links the discount factors between two currencies with the spot and forward FX rates.
The required FX forward rates are supplied as part of the additional input
FX Fwd Crv