fix fxforward to have npv of reference date#2602
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coverage: 74.643% (+0.002%) from 74.641% — jewonj0620:feature/fix_fx_forward_npv_reference_date into lballabio:master |
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DiscountingFxForwardEngine currently returns a settlement-date value. When settlementDays > 0, this differs from the NPV as of the curve reference date.
This patch discounts the FX forward value back to the reference date so that the result matches the expected Instrument::NPV() convention.