21308179365

Committed 24 Jan 2026 03:09AM UTC coverage: 74.188% (+0.02%) from 74.172%

Build # 21308179365

Build Type

Pull #2414

github

Committed by

web-flow

Commit Message

Merge f5f442ce9 into 71e800be7

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

Run Details

106 of 115 new or added lines in 3 files covered. (92.17%)

345 existing lines in 25 files now uncovered.

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88.24

/ql/instruments/fxforward.cpp

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

/*
 Copyright (C) 2026 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 sourceNominal,
                         const Currency& sourceCurrency,
                         Real targetNominal,
                         const Currency& targetCurrency,
                         const Date& maturityDate,
                         bool paySourceCurrency)
    : sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency), targetNominal_(targetNominal),
      targetCurrency_(targetCurrency), maturityDate_(maturityDate),
      paySourceCurrency_(paySourceCurrency), fairForwardRate_(Null<Real>()),
      npvSourceCurrency_(Null<Real>()), npvTargetCurrency_(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(sourceNominal > 0.0, "source nominal must be positive");
        QL_REQUIRE(targetNominal > 0.0, "target nominal must be positive");
    }

    FxForward::FxForward(Real sourceNominal,
                         const Currency& sourceCurrency,
                         const Currency& targetCurrency,
                         Real forwardRate,
                         const Date& maturityDate,
                         bool sellingSource)
    : sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency),
      targetNominal_(sourceNominal * forwardRate), targetCurrency_(targetCurrency),
      maturityDate_(maturityDate), paySourceCurrency_(sellingSource),
      fairForwardRate_(Null<Real>()), npvSourceCurrency_(Null<Real>()),
      npvTargetCurrency_(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(sourceNominal > 0.0, "source 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->sourceNominal = sourceNominal_;
        arguments->sourceCurrency = sourceCurrency_;
        arguments->targetNominal = targetNominal_;
        arguments->targetCurrency = targetCurrency_;
        arguments->maturityDate = maturityDate_;
        arguments->paySourceCurrency = paySourceCurrency_;
    }

    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;
        npvSourceCurrency_ = results->npvSourceCurrency;
        npvTargetCurrency_ = results->npvTargetCurrency;
    }

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

    Real FxForward::npvSourceCurrency() const {
        calculate();
        QL_REQUIRE(npvSourceCurrency_ != Null<Real>(), "NPV in source currency not available");
        return npvSourceCurrency_;
    }

    Real FxForward::npvTargetCurrency() const {
        calculate();
        QL_REQUIRE(npvTargetCurrency_ != Null<Real>(), "NPV in target currency not available");
        return npvTargetCurrency_;
    }

    void FxForward::arguments::validate() const {
        QL_REQUIRE(sourceNominal != Null<Real>(), "source nominal not set");
        QL_REQUIRE(targetNominal != Null<Real>(), "target nominal not set");
        QL_REQUIRE(!sourceCurrency.empty(), "source currency not set");
        QL_REQUIRE(!targetCurrency.empty(), "target currency not set");
        QL_REQUIRE(maturityDate != Date(), "maturity date not set");
    }

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

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2026 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 sourceNominal,	11✔
26	const Currency& sourceCurrency,
27	Real targetNominal,
28	const Currency& targetCurrency,
29	const Date& maturityDate,
30	bool paySourceCurrency)	11✔
31	: sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency), targetNominal_(targetNominal),	11✔
32	targetCurrency_(targetCurrency), maturityDate_(maturityDate),	11✔
33	paySourceCurrency_(paySourceCurrency), fairForwardRate_(Null<Real>()),	11✔
34	npvSourceCurrency_(Null<Real>()), npvTargetCurrency_(Null<Real>()) {	22✔
35	QL_REQUIRE(!sourceCurrency.empty(), "source currency must not be empty");	11✔
36	QL_REQUIRE(!targetCurrency.empty(), "target currency must not be empty");	11✔
37	QL_REQUIRE(sourceCurrency != targetCurrency,	11✔
38	"source and target currencies must be different");
39	QL_REQUIRE(sourceNominal > 0.0, "source nominal must be positive");	11✔
40	QL_REQUIRE(targetNominal > 0.0, "target nominal must be positive");	11✔
41	}	11✔
42
43	FxForward::FxForward(Real sourceNominal,	2✔
44	const Currency& sourceCurrency,
45	const Currency& targetCurrency,
46	Real forwardRate,
47	const Date& maturityDate,
48	bool sellingSource)	2✔
49	: sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency),	2✔
50	targetNominal_(sourceNominal * forwardRate), targetCurrency_(targetCurrency),	2✔
51	maturityDate_(maturityDate), paySourceCurrency_(sellingSource),	2✔
52	fairForwardRate_(Null<Real>()), npvSourceCurrency_(Null<Real>()),	2✔
53	npvTargetCurrency_(Null<Real>()) {	4✔
54	QL_REQUIRE(!sourceCurrency.empty(), "source currency must not be empty");	2✔
55	QL_REQUIRE(!targetCurrency.empty(), "target currency must not be empty");	2✔
56	QL_REQUIRE(sourceCurrency != targetCurrency,	2✔
57	"source and target currencies must be different");
58	QL_REQUIRE(sourceNominal > 0.0, "source nominal must be positive");	2✔
59	QL_REQUIRE(forwardRate > 0.0, "forward rate must be positive");	2✔
60	}	2✔
61
62	bool FxForward::isExpired() const {	15✔
63	return maturityDate_ < Settings::instance().evaluationDate();	15✔
64	}
65
66	void FxForward::setupArguments(PricingEngine::arguments* args) const {	13✔
67	auto* arguments = dynamic_cast<FxForward::arguments*>(args);	13✔
68	QL_REQUIRE(arguments != nullptr, "wrong argument type");	13✔
69
70	arguments->sourceNominal = sourceNominal_;	13✔
71	arguments->sourceCurrency = sourceCurrency_;
72	arguments->targetNominal = targetNominal_;	13✔
73	arguments->targetCurrency = targetCurrency_;
74	arguments->maturityDate = maturityDate_;	13✔
75	arguments->paySourceCurrency = paySourceCurrency_;	13✔
76	}	13✔
77
78	void FxForward::fetchResults(const PricingEngine::results* r) const {	13✔
79	Instrument::fetchResults(r);	13✔
80
81	const auto* results = dynamic_cast<const FxForward::results*>(r);	13✔
82	QL_REQUIRE(results != nullptr, "wrong result type");	13✔
83
84	fairForwardRate_ = results->fairForwardRate;	13✔
85	npvSourceCurrency_ = results->npvSourceCurrency;	13✔
86	npvTargetCurrency_ = results->npvTargetCurrency;	13✔
87	}	13✔
88
89	Real FxForward::fairForwardRate() const {	3✔
90	calculate();	3✔
91	QL_REQUIRE(fairForwardRate_ != Null<Real>(), "fair forward rate not available");	3✔
92	return fairForwardRate_;	3✔
93	}
94
NEW 95	Real FxForward::npvSourceCurrency() const {	×
NEW 96	calculate();	×
NEW 97	QL_REQUIRE(npvSourceCurrency_ != Null<Real>(), "NPV in source currency not available");	×
NEW 98	return npvSourceCurrency_;	×
99	}
100
NEW 101	Real FxForward::npvTargetCurrency() const {	×
NEW 102	calculate();	×
NEW 103	QL_REQUIRE(npvTargetCurrency_ != Null<Real>(), "NPV in target currency not available");	×
NEW 104	return npvTargetCurrency_;	×
105	}
106
107	void FxForward::arguments::validate() const {	13✔
108	QL_REQUIRE(sourceNominal != Null<Real>(), "source nominal not set");	13✔
109	QL_REQUIRE(targetNominal != Null<Real>(), "target nominal not set");	13✔
110	QL_REQUIRE(!sourceCurrency.empty(), "source currency not set");	13✔
111	QL_REQUIRE(!targetCurrency.empty(), "target currency not set");	13✔
112	QL_REQUIRE(maturityDate != Date(), "maturity date not set");	13✔
113	}	13✔
114
115	void FxForward::results::reset() {	13✔
116	Instrument::results::reset();	13✔
117	fairForwardRate = Null<Real>();	13✔
118	npvSourceCurrency = Null<Real>();	13✔
119	npvTargetCurrency = Null<Real>();	13✔
120	}	13✔
121
122	}

lballabio / QuantLib / 21308179365

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