Cross-Currency Swaps

Two instruments cover cross-currency swaps, both with initial and final notional exchange and priced by DiscountedCashflowPricer.

Builders

let xccy = MakeFloatFloatCrossCurrencySwap::<f64>::default()
    .with_identifier("CLPUSD_XCCY_5Y".to_string())
    .with_start_date(rd)
    .with_maturity_date(rd.advance(5, TimeUnit::Years))
    .with_domestic_notional(10_000_000.0)                 // USD
    .with_foreign_notional(10_000_000.0 * fx_clpusd)      // CLP
    .with_foreign_spread(0.002)
    .with_domestic_currency(Currency::USD)
    .with_foreign_currency(Currency::CLP)
    .with_domestic_market_index(MarketIndex::SOFR)
    .with_foreign_market_index(MarketIndex::ICP)
    .build()?;
let trade = FloatFloatCrossCurrencySwapTrade::new(xccy, rd, 10_000_000.0, Side::LongReceive);

Trades: FixFloatCrossCurrencySwapTrade<T>::new(..), FloatFloatCrossCurrencySwapTrade<T>::new(..).

Discounting and FX

Each leg is priced in its own currency, converted to the reporting currency with the FxStore (get_fx_rate triangulates through intermediate currencies with a BFS when the direct pair is absent) and discounted on the curve chosen by the discount policy. Under a USD CSA:

pricer.set_discount_policy(Box::new(SingleCurveCSADiscountPolicy::new(MarketIndex::SOFR, Currency::USD)));

• USD leg → discounted on SOFR.
• CLP leg → discounted on MarketIndex::Collateral(Currency::CLP, Currency::USD), the CLP curve implied by USD collateral. That curve must be bootstrapped from cross-currency basis quotes:

{
  "market_index": { "Collateral": ["CLP", "USD"] },
  "quotes": [
    "FloatFloatCrossCurrencySwap_USD_SOFR_ICP_CLP_1Y",
    "FloatFloatCrossCurrencySwap_USD_SOFR_ICP_CLP_2Y",
    "FloatFloatCrossCurrencySwap_USD_SOFR_ICP_CLP_5Y"
  ]
}

MultiCurveBootstrapper needs with_fx_store(fx) for such specs so the notionals are FX-consistent at inception. examples/bootstrap and examples/sensitivity do this for USD/CLP; examples/cva runs the same trade through XVA.

Sensitivities

With DualFwd the sensitivity table for the swap above contains rows for OIS_USD_SOFR_* (discounting), OIS_CLP_ICP_* (projection of the CLP leg) and FloatFloatCrossCurrencySwap_USD_SOFR_ICP_CLP_* (collateral curve). Sensitivity to the FX spot is exposed if the spot is registered as a DualFwd::new leaf in the FxStore (add_fx_rate(base, quote, DualFwd)).

FX forwards

MakeFxForward (with_identifier, with_delivery_date, with_base_currency, with_quote_currency, and either with_forward_price/with_forward_rate or with_forward_points; as_deliverable() default or as_ndf(fixing_date, settlement_ccy); with_day_counter default Actual360) produces an FxForward, wrapped by FxForwardTrade::new. FxForwardPricer::new() supports Value, FairRate and Sensitivities with

\[ F = S\,\frac{P_{quote}(T)}{P_{base}(T)},\qquad \text{NPV} = N\,(F-K)\,P_{quote}(T). \]

Request::FairRate returns \(F\).