Spot
Key Spot in Yield Curve Fxf refers to the spot FX rate that applies to the fx forwards, 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 Fxf
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.
The spot rate's settlement date is important and affects the discount factors implied by the produced curve.
This is a consequence of the formula f = sPᵗᵍᵗ/Pˢʳᶜ, as shown at Yield Curve Fxf
