21977695464

Committed 13 Feb 2026 06:54AM UTC coverage: 74.195% (+0.02%) from 74.172%

Build # 21977695464

Build Type

Pull #2414

github

Committed by

web-flow

Commit Message

Merge aadca585a into ef7a958e8

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

Coverage Stats

115 of 124 new or added lines in 3 files covered. (92.74%)

345 existing lines in 25 files now uncovered.

57462 of 77447 relevant lines covered (74.2%)

8773293.52 hits per line

Source File
Press 'n' to go to next uncovered line, 'b' for previous

88.31

/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>
#include <ql/time/calendars/nullcalendar.hpp>

namespace QuantLib {

    FxForward::FxForward(Real sourceNominal,
                         const Currency& sourceCurrency,
                         Real targetNominal,
                         const Currency& targetCurrency,
                         const Date& maturityDate,
                         bool paySourceCurrency,
                         Natural settlementDays,
                         const Calendar& paymentCalendar)
    : sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency), targetNominal_(targetNominal),
      targetCurrency_(targetCurrency), maturityDate_(maturityDate),
      paySourceCurrency_(paySourceCurrency), settlementDays_(settlementDays),
      paymentCalendar_(paymentCalendar.empty() ? NullCalendar() : paymentCalendar),
      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 paySourceCurrency,
                         Natural settlementDays,
                         const Calendar& paymentCalendar)
    : sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency),
      targetNominal_(sourceNominal * forwardRate), targetCurrency_(targetCurrency),
      maturityDate_(maturityDate), paySourceCurrency_(paySourceCurrency),
      settlementDays_(settlementDays),
      paymentCalendar_(paymentCalendar.empty() ? NullCalendar() : paymentCalendar),
      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();
    }

    Date FxForward::settlementDate() const {
        return paymentCalendar_.advance(Settings::instance().evaluationDate(),
                                        settlementDays_, Days);
    }

    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_;
        arguments->settlementDate = settlementDate();
    }

    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");
        QL_REQUIRE(settlementDate != Date(), "settlement 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	#include <ql/time/calendars/nullcalendar.hpp>
23
24	namespace QuantLib {
25
26	FxForward::FxForward(Real sourceNominal,	16✔
27	const Currency& sourceCurrency,
28	Real targetNominal,
29	const Currency& targetCurrency,
30	const Date& maturityDate,
31	bool paySourceCurrency,
32	Natural settlementDays,
33	const Calendar& paymentCalendar)	16✔
34	: sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency), targetNominal_(targetNominal),	16✔
35	targetCurrency_(targetCurrency), maturityDate_(maturityDate),	16✔
36	paySourceCurrency_(paySourceCurrency), settlementDays_(settlementDays),	16✔
37	paymentCalendar_(paymentCalendar.empty() ? NullCalendar() : paymentCalendar),	16✔
38	fairForwardRate_(Null<Real>()),	16✔
39	npvSourceCurrency_(Null<Real>()), npvTargetCurrency_(Null<Real>()) {	32✔
40	QL_REQUIRE(!sourceCurrency.empty(), "source currency must not be empty");	16✔
41	QL_REQUIRE(!targetCurrency.empty(), "target currency must not be empty");	16✔
42	QL_REQUIRE(sourceCurrency != targetCurrency,	16✔
43	"source and target currencies must be different");
44	QL_REQUIRE(sourceNominal > 0.0, "source nominal must be positive");	16✔
45	QL_REQUIRE(targetNominal > 0.0, "target nominal must be positive");	16✔
46	}	16✔
47
48	FxForward::FxForward(Real sourceNominal,	2✔
49	const Currency& sourceCurrency,
50	const Currency& targetCurrency,
51	Real forwardRate,
52	const Date& maturityDate,
53	bool paySourceCurrency,
54	Natural settlementDays,
55	const Calendar& paymentCalendar)	2✔
56	: sourceNominal_(sourceNominal), sourceCurrency_(sourceCurrency),	2✔
57	targetNominal_(sourceNominal * forwardRate), targetCurrency_(targetCurrency),	2✔
58	maturityDate_(maturityDate), paySourceCurrency_(paySourceCurrency),	2✔
59	settlementDays_(settlementDays),	2✔
60	paymentCalendar_(paymentCalendar.empty() ? NullCalendar() : paymentCalendar),	2✔
61	fairForwardRate_(Null<Real>()), npvSourceCurrency_(Null<Real>()),	2✔
62	npvTargetCurrency_(Null<Real>()) {	4✔
NEW 63	QL_REQUIRE(!sourceCurrency.empty(), "source currency must not be empty");	×
64	QL_REQUIRE(!targetCurrency.empty(), "target currency must not be empty");	2✔
65	QL_REQUIRE(sourceCurrency != targetCurrency,	2✔
66	"source and target currencies must be different");
67	QL_REQUIRE(sourceNominal > 0.0, "source nominal must be positive");	2✔
68	QL_REQUIRE(forwardRate > 0.0, "forward rate must be positive");	2✔
69	}	2✔
70
71
72	bool FxForward::isExpired() const {	15✔
73	return maturityDate_ < Settings::instance().evaluationDate();	15✔
74	}
75
76	Date FxForward::settlementDate() const {	23✔
77	return paymentCalendar_.advance(Settings::instance().evaluationDate(),	23✔
78	settlementDays_, Days);	23✔
79	}
80
81	void FxForward::setupArguments(PricingEngine::arguments* args) const {	13✔
82	auto* arguments = dynamic_cast<FxForward::arguments*>(args);	13✔
83	QL_REQUIRE(arguments != nullptr, "wrong argument type");	13✔
84
85	arguments->sourceNominal = sourceNominal_;	13✔
86	arguments->sourceCurrency = sourceCurrency_;
87	arguments->targetNominal = targetNominal_;	13✔
88	arguments->targetCurrency = targetCurrency_;
89	arguments->maturityDate = maturityDate_;	13✔
90	arguments->paySourceCurrency = paySourceCurrency_;	13✔
91	arguments->settlementDate = settlementDate();	13✔
92	}	13✔
93
94	void FxForward::fetchResults(const PricingEngine::results* r) const {	13✔
95	Instrument::fetchResults(r);	13✔
96
97	const auto* results = dynamic_cast<const FxForward::results*>(r);	13✔
98	QL_REQUIRE(results != nullptr, "wrong result type");	13✔
99
100	fairForwardRate_ = results->fairForwardRate;	13✔
101	npvSourceCurrency_ = results->npvSourceCurrency;	13✔
102	npvTargetCurrency_ = results->npvTargetCurrency;	13✔
103	}	13✔
104
105	Real FxForward::fairForwardRate() const {	3✔
106	calculate();	3✔
107	QL_REQUIRE(fairForwardRate_ != Null<Real>(), "fair forward rate not available");	3✔
108	return fairForwardRate_;	3✔
109	}
110
NEW 111	Real FxForward::npvSourceCurrency() const {	×
NEW 112	calculate();	×
NEW 113	QL_REQUIRE(npvSourceCurrency_ != Null<Real>(), "NPV in source currency not available");	×
NEW 114	return npvSourceCurrency_;	×
115	}
116
NEW 117	Real FxForward::npvTargetCurrency() const {	×
NEW 118	calculate();	×
NEW 119	QL_REQUIRE(npvTargetCurrency_ != Null<Real>(), "NPV in target currency not available");	×
NEW 120	return npvTargetCurrency_;	×
121	}
122
123	void FxForward::arguments::validate() const {	13✔
124	QL_REQUIRE(sourceNominal != Null<Real>(), "source nominal not set");	13✔
125	QL_REQUIRE(targetNominal != Null<Real>(), "target nominal not set");	13✔
126	QL_REQUIRE(!sourceCurrency.empty(), "source currency not set");	13✔
127	QL_REQUIRE(!targetCurrency.empty(), "target currency not set");	13✔
128	QL_REQUIRE(maturityDate != Date(), "maturity date not set");	13✔
129	QL_REQUIRE(settlementDate != Date(), "settlement date not set");	13✔
130	}	13✔
131
132	void FxForward::results::reset() {	13✔
133	Instrument::results::reset();	13✔
134	fairForwardRate = Null<Real>();	13✔
135	npvSourceCurrency = Null<Real>();	13✔
136	npvTargetCurrency = Null<Real>();	13✔
137	}	13✔
138
139	}

lballabio / QuantLib / 21977695464

Source File Press 'n' to go to next uncovered line, 'b' for previous

Source File
Press 'n' to go to next uncovered line, 'b' for previous