Added correct treatment of the spot fx rate settlement in code dealing with cross currency swaps #54
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Added the element spotFXSettleDate_ that allows for a more accurate npv calculation that takes into account a non-trivial settlement date of the spot fx rate.
Added the element spotFXSettleDateVec_ that allows for a more accurate npv calculation that takes into account possible non-trivial settlement dates of the spot fx rates.
Added code in support of the newly added element spotFXSettleDateVec_ that allows for a more accurate npv calculation that takes into account possible non-trivial settlement dates of the spot fx rates.
irigopouPR
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The small correction affects the implementation of CrossCcyBasisSwapHelper::initializeDates().
On the line
swap_ = boost::shared_ptr(new CrossCcyBasisSwap( ...
the argument before the last was 0.0 and I replaced it with spreadOnFlatLeg_.
This must be so because only the 5th paySpread argument must be zero.
Otherwise the spreadOnFlatLeg_ would be initialized but nowhere used!