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Added correct treatment of the spot fx rate settlement in code dealing with cross currency swaps #54

Merged
merged 7 commits into from May 31, 2021
Merged

Added correct treatment of the spot fx rate settlement in code dealing with cross currency swaps #54

merged 7 commits into from May 31, 2021

Commits on Jul 5, 2020

  1. Update crossccybasisswaphelper.cpp

    @irigopouPR
    irigopouPR committed Jul 5, 2020
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Commits on Aug 9, 2020

  1. Update crossccybasisswaphelper.cpp

    @irigopouPR
    irigopouPR committed Aug 9, 2020
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  2. Update crossccybasisswaphelper.hpp

    @irigopouPR
    irigopouPR committed Aug 9, 2020
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  3. Update crossccyswapengine.cpp

    @irigopouPR
    irigopouPR committed Aug 9, 2020
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  4. Update crossccyswapengine.hpp 

    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.
    @irigopouPR
    irigopouPR committed Aug 9, 2020
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  5. Update discountingcurrencyswapengine.hpp 

    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.
    @irigopouPR
    irigopouPR committed Aug 9, 2020
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  6. Update discountingcurrencyswapengine.cpp 

    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
    irigopouPR committed Aug 9, 2020
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