Yield Curve Fxb


Yield Curve Fxb is a direct subtype of Yield Curve Input
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with functions Yield Curve Fxb Functions, keys Yield Curve Fxb keys and example object YldCrvFxb

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Fxb

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

EOM

Pillar Choice

Rule

Set

Spot

Spot Settle Quotes

Spread On Src

Src Build Approx AA

Src Build Approx CA

Src Build Rule

Src Cp Prd

Src Disc Crv

Src Forc Crv

Src Gearing

Src Index

Src Lag on Principal

Src Lookback

Src Obs Lag

Src Past Fixing

Src Pmt Lag

Src Rate Cutoff

Swap Settle

Tgt Build Approx AA

Tgt Build Approx CA

Tgt Build Rule

Tgt Cp Prd

Tgt Forc Crv

Tgt Gearing

Tgt Index

Tgt Lag on Principal

Tgt Lookback

Tgt Obs Lag

Tgt Past Fixing

Tgt Pmt Lag

Tgt Rate Cutoff

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TYPICAL OBJECTS OF TYPE Yield Curve Fxb

YldCrvFxb

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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 to as TARGET CURVE below.

Web blog example here

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.