FXForwardCurve2




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Returns an forward FX curve (or forward FX points) given domestic and foreign interest rate curves, spot FX value and a list of forward dates.



Note: Within Excel, the function is named - CT.FX.FXForwardCurve2


High level graphic of FXForwardCurve2() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. ForwardDates parameter

    Array of ForwardDates
  2. spotFX parameter

    FXRate on the 'ValueDate' date (domestic/foreign).
  3. domesticCCY parameter

    domestic currency.
  4. domesticCurve parameter

    Key to an already constructed domestic YieldCurve object.
  5. foreignCCY parameter

    foreign currency.
  6. foreignCurve parameter

    Key to an already constructed foreign YieldCurve object.
  7. outputType parameter

    The type of output you wuld like to view. Possile values are 'FXForward' or 'FXPoints'.


Extended information

Function Syntax

VB Syntax 


Variant CTCurrency.FXForwardCurve2( _
Variant ForwardDates, _
Double spotFX, _
CCYEnum domesticCCY, _
String domesticCurve, _
CCYEnum foreignCCY, _
String foreignCurve, _
String outputType)


Excel Spreadsheet Syntax 


=CT.FX.FXForwardCurve2(
XLRange ForwardDates,
Excel Numeric Cell spotFX,
Excel String Cell domesticCCY,
Excel String Cell domesticCurve,
Excel String Cell foreignCCY,
Excel String Cell foreignCurve,
Excel String Cell outputType)


C++ Syntax 


static CTRangeDataCPP FXForwardCurve2(
CTRangeDataCPP ForwardDates,
double spotFX,
CCYEnum domesticCCY,
std::string domesticCurve,
CCYEnum foreignCCY,
std::string foreignCurve,
std::string outputType);


DotNET Syntax 


CTRangeData CTCurrencySA.FXForwardCurve2(
CTRangeData ForwardDates,
System.Double spotFX,
CTIEnums.CCYEnum domesticCCY,
System.String domesticCurve,
CTIEnums.CCYEnum foreignCCY,
System.String foreignCurve,
System.String outputType);

Parameter data types

ArgNameArgTypeIsKey
ForwardDatesRangeFALSE
spotFXDoubleFALSE
domesticCCYCCYEnumFALSE
domesticCurveStringTRUE
foreignCCYCCYEnumFALSE
foreignCurveStringTRUE
outputTypeStringFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
ForwardDatesFALSEFXForwardCurve2_ForwardDates_Range (creates a range object)
spotFXFALSE0.8
domesticCCYTRUEEUR
domesticCurveFALSEdomesticCurveNAME.EXTTAG.TICKER (from a function call)
foreignCCYTRUEGBP
foreignCurveFALSEforeignCurveNAME.EXTTAG.TICKER (from a function call)
outputTypeFALSEFXForward


Example range for parameter : ForwardDates

Within Excel, a range such as this can be passed directly into the ForwardDates parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : ForwardDates 


CTQL.CTRangeData FXForwardCurve2_ForwardDates;


int[] arrBFXForwardCurve2_ForwardDates = {
CTQL.Date.serialNumber("21/7/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("23/10/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("22/1/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("23/4/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("23/7/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("22/10/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/1/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/4/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/7/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/10/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/1/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/4/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/7/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/10/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/1/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/4/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/7/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/10/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/1/2011", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/4/2011", "dd/mm/yyyy"),
CTQL.Date.serialNumber("21/7/2011", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrFXForwardCurve2_ForwardDates =
new  CTQL.IntVector(arrBFXForwardCurve2_ForwardDates);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FXForwardCurve2_ForwardDates = new  CTQL.CTRangeData(arrFXForwardCurve2_ForwardDates, false);


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Curves20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the FXForwardCurve2() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the FXForwardCurve2() function call


Example
ForwardDateFXForward
389190.780869
390130.779464
391040.778185
391950.776985
392860.775773
393770.77314
394680.770612
395590.768188
396500.765865
397420.764018
398340.762289
399240.760714
400150.758396
401070.756059
401990.753729
402890.751457
403800.749154
404720.746086
405640.743031
406540.740055
407450.737057



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