Synthetic calibrator extended to support Cross-currency swaps. #1976
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yukiiwashita
requested changes
May 21, 2019
| // Generate quotes for FX pairs. The first currency is arbitrarily selected as starting point. | ||
| // The crosses are automatically generated by the MarketDataFxRateProvider used in calibration. | ||
| for (int loopccy = 1; loopccy < ccyRequired.size(); loopccy++) { | ||
| CurrencyPair ccyPair = CurrencyPair.of(ccyRequired.get(0), ccyRequired.get(loopccy)); | ||
| FxRateId fxId = FxRateId.of(ccyPair); | ||
| mapIdSy.put(fxId, FxRate.of(ccyPair, inputProvider.fxRate(ccyPair))); | ||
| mapId0.put(fxId, FxRate.of(ccyPair, inputProvider.fxRate(ccyPair))); // Required to generate the trade |
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Because MarketData created from this map is used in CurveNode for cross currency products without MarketDataFxRateProvider, FX crosses are not generated. Thus the exact FxRateIds are required for all of the possible pairs.
yukiiwashita
approved these changes
May 21, 2019
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Synthetic calibrator did not support the cross-currency instruments (FX swaps and XCcy swaps) because the way the FxRateId was treated. Code has been improved to deal with QuoteId and FxRateId separetely.