Details


Key _Details in
Yield Curve Fxf refers to detailed information about the forward fx rates.
It is an object of type
Set consisting of 2 columns (set in any order).
The first column displays the dates when the forward contracts settle at maturity, i.e. the dates when the currency exchange takes place.
The second column displays the calculated forward fx rates of the standard ratio Target Ccy / Source Ccy that correspond to the quotes entered in the second column of
Set

More detailed information about the cash flows of the involved instruments becomes available when this object is used as input in the creation of a
Yield Curve
Then the element
_Cash Flows of the Yield Curve object contains the detailed cash flows of the instruments here, with the following three precautions:

1) The implied quote displayed in the column titled #ImpliedQuote corresponds to the difference of the forward fx rate minus the spot fx rate, rather than the forward fx rate alone!

2) It also corresponds to the forward fx rate of the standard ratio Target Ccy / Source Ccy, whereas the quotes entered in
Set may refer to the inverse ratio.

3) The object presented in the column titled #CashFlows corresponds to the QuantLib object that represents the corresponding fx forward.
It appears with a null calendar and a number of fixing days that may differ from those used in the input
Spot
This is intentional. The QuantLib conventions have been chosen so that the settlement date of the forward's maturity is the correct one.

Note that the first two conventions above can make the numbers reported here or in the curve's cash flows be very different from the quotes entered in
Set

Note this key is prefixed by _, which indicates it is regarded as a read-only part of the object's data and therefore its associated value cannot be edited.
For that reason it does not appear as part of the input data.
It carries informational only value for the user and appears as part of its contents.
Also it completely depends on the remaining object contents and therefore is never part of the exported object's data.