Fix QL_REQUIRE for physical-settled FX Forward#167
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pcaspers merged 1 commit intoOpenSourceRisk:masterfrom Aug 10, 2023
haoxiaofeng:master
Merged
Fix QL_REQUIRE for physical-settled FX Forward#167pcaspers merged 1 commit intoOpenSourceRisk:masterfrom haoxiaofeng:master
pcaspers merged 1 commit intoOpenSourceRisk:masterfrom
haoxiaofeng:master
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Thanks @haoxiaofeng! Will merge this shortly. |
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Matching the meaning of the QL_REQUIRE expression with the exception description for physical-settled Fx Forward trade:
QL_REQUIRE(arguments_.isPhysicallySettled || arguments_.payDate <= arguments_.fixingDate || arguments_.fxIndex != nullptr, "If pay date (" << arguments_.payDate << ") is strictly after fixing date (" << arguments_.fixingDate << "), an FX Index must be given for a cash-settled FX Forward.");