Yield Curve Fxb


Yield Curve Fxb is a
direct subtype of Yield Curve Input with functions Yield Curve Fxb Functions, keys Yield Curve Fxb keys and example object YldCrvFxb that represents market rates of cross currency basis swap contracts - i.e. objects of type Currency Swap Old - that may be used as input to a yield curve construction.

Web blog example
here

Technically, the mentioned curve is created by feeding an object of this type as value next to the key
Market Data in the formula that creates the Yield Curve object.

We refer to the known curve entered in Src Disc Crv as the sourcecurve and denote its associated currency with SRC and the curve being built here as the target curve and denote its associated currency with 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.

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.