21247173144

Committed 22 Jan 2026 11:44AM UTC coverage: 74.184% (+0.01%) from 74.172%

Build # 21247173144

Build Type

Pull #2414

github

Committed by

web-flow

Commit Message

Merge d5c127c70 into 71e800be7

Pull Request Pull Request #2414: Add FX Forward instrument, engine, and tests

Run Details

102 of 111 new or added lines in 3 files covered. (91.89%)

345 existing lines in 25 files now uncovered.

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87.69

/ql/instruments/fxforward.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2024 Chirag Desai

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <https://www.quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/instruments/fxforward.hpp>
#include <ql/settings.hpp>

namespace QuantLib {

    FxForward::FxForward(Real nominal1,
                         const Currency& currency1,
                         Real nominal2,
                         const Currency& currency2,
                         const Date& maturityDate,
                         bool payCurrency1)
    : nominal1_(nominal1), currency1_(currency1), nominal2_(nominal2), currency2_(currency2),
      maturityDate_(maturityDate), payCurrency1_(payCurrency1), fairForwardRate_(Null<Real>()),
      npvCurrency1_(Null<Real>()), npvCurrency2_(Null<Real>()) {
        QL_REQUIRE(!currency1.empty(), "currency1 must not be empty");
        QL_REQUIRE(!currency2.empty(), "currency2 must not be empty");
        QL_REQUIRE(currency1 != currency2, "currency1 and currency2 must be different");
        QL_REQUIRE(nominal1 > 0.0, "nominal1 must be positive");
        QL_REQUIRE(nominal2 > 0.0, "nominal2 must be positive");
    }

    FxForward::FxForward(Real nominal,
                         const Currency& sourceCurrency,
                         const Currency& targetCurrency,
                         Real forwardRate,
                         const Date& maturityDate,
                         bool sellingSource)
    : nominal1_(nominal), currency1_(sourceCurrency), nominal2_(nominal * forwardRate),
      currency2_(targetCurrency), maturityDate_(maturityDate), payCurrency1_(sellingSource),
      fairForwardRate_(Null<Real>()), npvCurrency1_(Null<Real>()), npvCurrency2_(Null<Real>()) {
        QL_REQUIRE(!sourceCurrency.empty(), "source currency must not be empty");
        QL_REQUIRE(!targetCurrency.empty(), "target currency must not be empty");
        QL_REQUIRE(sourceCurrency != targetCurrency,
                   "source and target currencies must be different");
        QL_REQUIRE(nominal > 0.0, "nominal must be positive");
        QL_REQUIRE(forwardRate > 0.0, "forward rate must be positive");
    }

    bool FxForward::isExpired() const {
        return maturityDate_ < Settings::instance().evaluationDate();
    }

    void FxForward::setupArguments(PricingEngine::arguments* args) const {
        auto* arguments = dynamic_cast<FxForward::arguments*>(args);
        QL_REQUIRE(arguments != nullptr, "wrong argument type");

        arguments->nominal1 = nominal1_;
        arguments->currency1 = currency1_;
        arguments->nominal2 = nominal2_;
        arguments->currency2 = currency2_;
        arguments->maturityDate = maturityDate_;
        arguments->payCurrency1 = payCurrency1_;
    }

    void FxForward::fetchResults(const PricingEngine::results* r) const {
        Instrument::fetchResults(r);

        const auto* results = dynamic_cast<const FxForward::results*>(r);
        QL_REQUIRE(results != nullptr, "wrong result type");

        fairForwardRate_ = results->fairForwardRate;
        npvCurrency1_ = results->npvCurrency1;
        npvCurrency2_ = results->npvCurrency2;
    }

    Real FxForward::fairForwardRate() const {
        calculate();
        QL_REQUIRE(fairForwardRate_ != Null<Real>(), "fair forward rate not available");
        return fairForwardRate_;
    }

    Real FxForward::npvCurrency1() const {
        calculate();
        QL_REQUIRE(npvCurrency1_ != Null<Real>(), "NPV in currency1 not available");
        return npvCurrency1_;
    }

    Real FxForward::npvCurrency2() const {
        calculate();
        QL_REQUIRE(npvCurrency2_ != Null<Real>(), "NPV in currency2 not available");
        return npvCurrency2_;
    }

    void FxForward::arguments::validate() const {
        QL_REQUIRE(nominal1 != Null<Real>(), "nominal1 not set");
        QL_REQUIRE(nominal2 != Null<Real>(), "nominal2 not set");
        QL_REQUIRE(!currency1.empty(), "currency1 not set");
        QL_REQUIRE(!currency2.empty(), "currency2 not set");
        QL_REQUIRE(maturityDate != Date(), "maturity date not set");
    }

    void FxForward::results::reset() {
        Instrument::results::reset();
        fairForwardRate = Null<Real>();
        npvCurrency1 = Null<Real>();
        npvCurrency2 = Null<Real>();
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2024 Chirag Desai
5
6	This file is part of QuantLib, a free-software/open-source library
7	for financial quantitative analysts and developers - http://quantlib.org/
8
9	QuantLib is free software: you can redistribute it and/or modify it
10	under the terms of the QuantLib license. You should have received a
11	copy of the license along with this program; if not, please email
12	<quantlib-dev@lists.sf.net>. The license is also available online at
13	<https://www.quantlib.org/license.shtml>.
14
15	This program is distributed in the hope that it will be useful, but WITHOUT
16	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17	FOR A PARTICULAR PURPOSE. See the license for more details.
18	*/
19
20	#include <ql/instruments/fxforward.hpp>
21	#include <ql/settings.hpp>
22
23	namespace QuantLib {
24
25	FxForward::FxForward(Real nominal1,	10✔
26	const Currency& currency1,
27	Real nominal2,
28	const Currency& currency2,
29	const Date& maturityDate,
30	bool payCurrency1)	10✔
31	: nominal1_(nominal1), currency1_(currency1), nominal2_(nominal2), currency2_(currency2),	10✔
32	maturityDate_(maturityDate), payCurrency1_(payCurrency1), fairForwardRate_(Null<Real>()),	10✔
33	npvCurrency1_(Null<Real>()), npvCurrency2_(Null<Real>()) {	20✔
34	QL_REQUIRE(!currency1.empty(), "currency1 must not be empty");	10✔
35	QL_REQUIRE(!currency2.empty(), "currency2 must not be empty");	10✔
36	QL_REQUIRE(currency1 != currency2, "currency1 and currency2 must be different");	10✔
37	QL_REQUIRE(nominal1 > 0.0, "nominal1 must be positive");	10✔
38	QL_REQUIRE(nominal2 > 0.0, "nominal2 must be positive");	10✔
39	}	10✔
40
41	FxForward::FxForward(Real nominal,	1✔
42	const Currency& sourceCurrency,
43	const Currency& targetCurrency,
44	Real forwardRate,
45	const Date& maturityDate,
46	bool sellingSource)	1✔
47	: nominal1_(nominal), currency1_(sourceCurrency), nominal2_(nominal * forwardRate),	1✔
48	currency2_(targetCurrency), maturityDate_(maturityDate), payCurrency1_(sellingSource),	1✔
49	fairForwardRate_(Null<Real>()), npvCurrency1_(Null<Real>()), npvCurrency2_(Null<Real>()) {	2✔
50	QL_REQUIRE(!sourceCurrency.empty(), "source currency must not be empty");	1✔
51	QL_REQUIRE(!targetCurrency.empty(), "target currency must not be empty");	1✔
52	QL_REQUIRE(sourceCurrency != targetCurrency,	1✔
53	"source and target currencies must be different");
54	QL_REQUIRE(nominal > 0.0, "nominal must be positive");	1✔
55	QL_REQUIRE(forwardRate > 0.0, "forward rate must be positive");	1✔
56	}	1✔
57
58	bool FxForward::isExpired() const {	14✔
59	return maturityDate_ < Settings::instance().evaluationDate();	14✔
60	}
61
62	void FxForward::setupArguments(PricingEngine::arguments* args) const {	12✔
63	auto* arguments = dynamic_cast<FxForward::arguments*>(args);	12✔
64	QL_REQUIRE(arguments != nullptr, "wrong argument type");	12✔
65
66	arguments->nominal1 = nominal1_;	12✔
67	arguments->currency1 = currency1_;
68	arguments->nominal2 = nominal2_;	12✔
69	arguments->currency2 = currency2_;
70	arguments->maturityDate = maturityDate_;	12✔
71	arguments->payCurrency1 = payCurrency1_;	12✔
72	}	12✔
73
74	void FxForward::fetchResults(const PricingEngine::results* r) const {	12✔
75	Instrument::fetchResults(r);	12✔
76
77	const auto* results = dynamic_cast<const FxForward::results*>(r);	12✔
78	QL_REQUIRE(results != nullptr, "wrong result type");	12✔
79
80	fairForwardRate_ = results->fairForwardRate;	12✔
81	npvCurrency1_ = results->npvCurrency1;	12✔
82	npvCurrency2_ = results->npvCurrency2;	12✔
83	}	12✔
84
85	Real FxForward::fairForwardRate() const {	2✔
86	calculate();	2✔
87	QL_REQUIRE(fairForwardRate_ != Null<Real>(), "fair forward rate not available");	2✔
88	return fairForwardRate_;	2✔
89	}
90
NEW 91	Real FxForward::npvCurrency1() const {	×
NEW 92	calculate();	×
NEW 93	QL_REQUIRE(npvCurrency1_ != Null<Real>(), "NPV in currency1 not available");	×
NEW 94	return npvCurrency1_;	×
95	}
96
NEW 97	Real FxForward::npvCurrency2() const {	×
NEW 98	calculate();	×
NEW 99	QL_REQUIRE(npvCurrency2_ != Null<Real>(), "NPV in currency2 not available");	×
NEW 100	return npvCurrency2_;	×
101	}
102
103	void FxForward::arguments::validate() const {	12✔
104	QL_REQUIRE(nominal1 != Null<Real>(), "nominal1 not set");	12✔
105	QL_REQUIRE(nominal2 != Null<Real>(), "nominal2 not set");	12✔
106	QL_REQUIRE(!currency1.empty(), "currency1 not set");	12✔
107	QL_REQUIRE(!currency2.empty(), "currency2 not set");	12✔
108	QL_REQUIRE(maturityDate != Date(), "maturity date not set");	12✔
109	}	12✔
110
111	void FxForward::results::reset() {	12✔
112	Instrument::results::reset();	12✔
113	fairForwardRate = Null<Real>();	12✔
114	npvCurrency1 = Null<Real>();	12✔
115	npvCurrency2 = Null<Real>();	12✔
116	}	12✔
117
118	}

lballabio / QuantLib / 21247173144

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