Set


Key Set in
Yield Curve Fxf refers to the set containing the quoted forward fx rates.
Expects an object of type
Set consisting of 2 columns (set in any order).
The first column must bear the title #Tenor and contain the maturities of the supplied fx forwards, expressed as time intervals, i.e. objects of type
Step
The maturity dates are implied by adding the time intervals to the settlement date of the spot fx rate defined in
Spot, except if the overruling entry Spot Settle Quotes applies.
The second column must bear the title #Quote and contain the respective forward fx rates of the ratio defined in
Quote Tgt/Src and quoted according to the convention in Quoting
The table with the exact settlement dates and the converted calculated forward fx rates of the standard ratio Target Ccy / Source Ccy is displayed at _Details