Spot
Key Spot in Yield Curve Fxb refers to the spot FX rate that applies to the cross currency basis swaps, of which the market quotes are entered in Set
Expects an object of type FX Value.
It must involve the two currencies SRC and TGT, as described at Yield Curve Fxb
The currency SRC must equal the currency associated with the curve in Src Disc Crv
The currency TGT must equal the other currency referenced by the market quotes entered in Set
The ordering in the currency pair (base vs quote) is not important.
Even though this is a required input, the contained numerical value of the spot fx rate does not affect the discount factors implied by the produced curve.
The reson is that the cross currency basis swaps are so constructed that their SRC and TGT legs have differing notionals Nˢʳᶜ and Nᵗᵍᵗ respectively that satisfy:
Nˢʳᶜ/Nᵗᵍᵗ = s := spot fx rate TGT/SRC
Assuming the SRC currency is chosen as the account currency, relative to which all cash flows are valued, the formula of any TGT cash flow amount in SRC terms would contain:
a) the factor s for the purpose of converting from TGT to SRC and
b) the factor Nˢʳᶜ/s
since its notional Nᵗᵍᵗ would equal Nˢʳᶜ/s according to the notional choice above.
It follows that s can have no effect on the valuation of the cross currency basis swaps and thus no effect on the produced curve that is implied by these swaps.
Not only is the spot value s unimportant, but also its settlement date as well, but only if the SRC legs have zero spreads and unit multipliers because in that case the PV of each SRC leg equals zero.
The latter fact makes the knowledge of the fx spot rate settlement date unimportant because the TGT curve is produced by the requirement that the TGT leg of each cross currency swap has the same PV as the SRC leg
Therefore, in the mentioned special case, the fact that each SRC leg has zero PV implies that the corresponding TGT leg must also have zero PV in SRC currency terms.
But zero in one currency is zero in all currencies => no conversion is needed and one may simply demand that each TGT leg has zero PV in its own currency terms.
If the PV were not zero, one would need to know the exact date on which s were applicable, which would make the settlement date of the spot fx rate relevant.
The object here also supplies the conventions needed to define the settlement and the accrual period dates of both legs in each of the input cross currency basis swaps.
In particular, it must have Settle Rule = Joint so that the effective calendar is the union of the involved calendars.
Also both the settlement and period dates of each basis swap are adjusted according to the entry here.