This type represents market rates of cross currency basis swap contracts - i.e. objects of type Currency Swap - that may be used as input to construct a curve (i.e. an object of type Yield Curve), referred as TARGET CURVE below.
Note: The current implementation supports only ibor-ibor, oi-oi and ibor-oi swaps. Fixed-ibor and fixed-oi swaps can be also processed by setting the appropriate index multiplier to 0.
Technically, the TARGET CURVE is created by feeding an object of the Yield Curve Fxb type as value next to the key Market Data in the formula that creates the TARGET CURVE
We refer to the known curve entered in Src Disc Crv as the source curve and denote its associated currency with SRC, whereas the curve being built here is the TARGET CURVE with its associated currency being TGT Concretely, an object of type Yield Curve Fxb holds the market quoted basis spreads of cross currency basis swaps between SRC and TGT The discount factors of the TARGET CURVE are then constructed in such a way that all these swaps have zero NPV.
All swaps are assumed collateralized in the SRC currency.
The SRC discounting curve and the spot fx rate must be supplied as exogenous inputs. Optionally, a SRC forecasting curve may be also supplied, which would then replace the given SRC discounting curve in predicting the future fixings of the source ibor index. Similarly, a TGT forecasting curve may be also optionally supplied, which would then be used in lieu of the produced TGT discounting curve in predicting the future fixings of the target ibor index.