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QPR-12372 include settlement date flows in FX Forwards
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‎Docs/UserGuide/parameterisation/pricingengines.tex‎

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@@ -4410,6 +4410,7 @@ \subsubsection{Product Type: FxForward}
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<Engine>DiscountingFxForwardEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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<Parameter name="IncludeSettlementDateFlows">true</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
@@ -4420,6 +4421,10 @@ \subsubsection{Product Type: FxForward}
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CrossAssetModel/AMC builds a McCamFxForwardEngine for use in AMC simulations. We refer to the AMC module documentation
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for further details.
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Parameter IncludeSettlementDateFlows is set to false by default, i.e. cash flows on the maturity date of the trade are
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not taken into account when pricing as of maturity date so that the trade has zero value on maturity. In case of true
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we do take the final flows into account while the trade is ``maturing''.
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%--------------------------------------------------------
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\subsubsection{Product Type: FxOption}
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%--------------------------------------------------------

‎Examples/Example_7/ExpectedOutput/curves.csv‎

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‎Examples/Example_7/ExpectedOutput/flows.csv‎

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#TradeId,Type,CashflowNo,LegNo,PayDate,FlowType,Amount,Currency,Coupon,Accrual,AccrualStartDate,AccrualEndDate,AccruedAmount,fixingDate,fixingValue,Notional,DiscountFactor,PresentValue,FXRate(Local-Base),PresentValue(Base),BaseCurrency,FloorStrike,CapStrike,FloorVolatility,CapVolatility
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FXFWD_EURUSD_10Y,FxForward,1,0,2026-03-01,Notional,1000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9599864296,959986.4295885050,1.0000000000,959986.4295885050,EUR,#N/A,#N/A,#N/A,#N/A
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FXFWD_EURUSD_10Y,FxForward,1,1,2026-03-01,Notional,-1100000.0000,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.8035576701,-883913.4370770195,0.8831293157,-780609.8688614958,EUR,#N/A,#N/A,#N/A,#N/A
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#TradeId,Type,CashflowNo,LegNo,PayDate,FlowType,Amount,Currency,Coupon,Accrual,AccrualStartDate,AccrualEndDate,AccruedAmount,fixingDate,fixingValue,Notional,DiscountFactor,PresentValue,FXRate(Local-Base),PresentValue(Base),BaseCurrency,FloorStrike,CapStrike,FloorVolatility,CapVolatility,EffectiveFloorVolatility,EffectiveCapVolatility
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FXFWD_EURUSD_10Y,FxForward,1,0,2026-03-01,Notional,1000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.9599864296,959986.4295885050,1.0000000000,959986.4295885050,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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FXFWD_EURUSD_10Y,FxForward,1,1,2026-03-01,Notional,-1100000.0000,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.8035576701,-883913.4370770195,0.8831293157,-780609.8688614958,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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FXFWD_MATURING,FxForward,1,0,2016-02-05,Notional,1000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,1.0000000000,1000000.0000000000,1.0000000000,1000000.0000000000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A
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FXFWD_MATURING,FxForward,1,1,2016-02-05,Notional,-1100000.0000,USD,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,1.0000000000,-1100000.0000000000,0.8831293157,-971442.2473168324,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A

‎Examples/Example_7/ExpectedOutput/log_progress.json‎

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‎Examples/Example_7/ExpectedOutput/npv.csv‎

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#TradeId,TradeType,Maturity,MaturityTime,NPV,NpvCurrency,NPV(Base),BaseCurrency,Notional,NotionalCurrency,Notional(Base),NettingSet,CounterParty
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FXFWD_EURUSD_10Y,FxForward,2026-03-01,10.066015,203114.716644,USD,179376.560727,EUR,1000000.00,EUR,1000000.00,CPTY_A,CPTY_A
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FXFWD_MATURING,FxForward,2016-02-05,0.000000,32337.000000,USD,28557.752683,EUR,1000000.00,EUR,1000000.00,CPTY_A,CPTY_A
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FX_CALL_OPTION_EURUSD_10Y,FxOption,2026-03-01,10.066015,288852.452705,USD,255094.068908,EUR,1100000.00,USD,971442.25,CPTY_A,CPTY_A
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FX_PUT_OPTION_EURUSD_10Y,FxOption,2026-03-01,10.066015,85737.736061,USD,75717.508181,EUR,1100000.00,USD,971442.25,CPTY_A,CPTY_A

‎Examples/Example_7/Input/ore.xml‎

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<Parameter name="curveConfigFile">../../Input/curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="pricingEnginesFile">pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">Disable</Parameter>
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</Setup>

‎Examples/Example_7/Input/portfolio.xml‎

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@@ -63,4 +63,19 @@
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<SoldAmount>1100000</SoldAmount>
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</FxOptionData>
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</Trade>
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<Trade id="FXFWD_MATURING">
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<TradeType>FxForward</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<FxForwardData>
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<ValueDate>2016-02-05</ValueDate>
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<BoughtCurrency>EUR</BoughtCurrency>
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<BoughtAmount>1000000</BoughtAmount>
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<SoldCurrency>USD</SoldCurrency>
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<SoldAmount>1100000</SoldAmount>
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</FxForwardData>
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</Trade>
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</Portfolio>

‎Examples/Example_7/Input/pricingengine.xml‎

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<?xml version="1.0"?>
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<PricingEngines>
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<Product type="FxForward">
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<Model>DiscountedCashflows</Model>
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<ModelParameters/>
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<Engine>DiscountingFxForwardEngine</Engine>
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<EngineParameters>
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<Parameter name="includeSettlementDateFlows">true</Parameter>
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</EngineParameters>
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</Product>
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<Product type="FxOption">
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<Model>GarmanKohlhagen</Model>
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<ModelParameters/>
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<Engine>AnalyticEuropeanEngine</Engine>
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<EngineParameters/>
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</Product>
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</PricingEngines>

‎OREData/ored/portfolio/builders/fxforward.hpp‎

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@@ -58,10 +58,13 @@ class FxForwardEngineBuilder : public FxForwardEngineBuilderBase {
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protected:
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virtual boost::shared_ptr<PricingEngine> engineImpl(const Currency& forCcy, const Currency& domCcy) override {
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string pair = keyImpl(forCcy, domCcy);
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string tmp = engineParameter("includeSettlementDateFlows", {}, false, "");
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bool includeSettlementDateFlows = tmp == "" ? false : parseBool(tmp);
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return boost::make_shared<QuantExt::DiscountingFxForwardEngine>(
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domCcy, market_->discountCurve(domCcy.code(), configuration(MarketContext::pricing)), forCcy,
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market_->discountCurve(forCcy.code(), configuration(MarketContext::pricing)),
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market_->fxRate(pair, configuration(MarketContext::pricing)));
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market_->fxRate(pair, configuration(MarketContext::pricing)),
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includeSettlementDateFlows);
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}
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};
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‎OREData/ored/portfolio/fxforward.cpp‎

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@@ -110,11 +110,25 @@ void FxForward::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
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DLOG("Build FxForward with maturity date " << QuantLib::io::iso_date(maturityDate) << " and pay date "
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<< QuantLib::io::iso_date(payDate));
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// get pricing engine builder
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boost::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
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QL_REQUIRE(builder, "No builder found for " << tradeType_);
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boost::shared_ptr<FxForwardEngineBuilderBase> fxBuilder =
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boost::dynamic_pointer_cast<FxForwardEngineBuilderBase>(builder);
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string tmp = fxBuilder->engineParameter("includeSettlementDateFlows", {}, false, "");
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includeSettlementDateFlows_ = tmp == "" ? false : parseBool(tmp);
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boost::shared_ptr<QuantLib::Instrument> instrument =
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boost::make_shared<QuantExt::FxForward>(boughtAmount_, boughtCcy, soldAmount_, soldCcy, maturityDate, false,
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settlement_ == "Physical", payDate, payCcy, fixingDate, fxIndex);
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settlement_ == "Physical", payDate, payCcy, fixingDate, fxIndex,
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includeSettlementDateFlows_);
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instrument_.reset(new VanillaInstrument(instrument));
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// set pricing engine
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instrument_->qlInstrument()->setPricingEngine(fxBuilder->engine(boughtCcy, soldCcy));
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setSensitivityTemplate(*fxBuilder);
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npvCurrency_ = payCcy.code();
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notional_ = Null<Real>(); // soldAmount_;
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notionalCurrency_ = ""; // soldCurrency_;
@@ -126,15 +140,6 @@ void FxForward::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
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legCurrencies_ = {boughtCurrency_, soldCurrency_};
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legPayers_ = {false, true};
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// set Pricing engine
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boost::shared_ptr<EngineBuilder> builder = engineFactory->builder(tradeType_);
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QL_REQUIRE(builder, "No builder found for " << tradeType_);
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boost::shared_ptr<FxForwardEngineBuilderBase> fxBuilder =
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boost::dynamic_pointer_cast<FxForwardEngineBuilderBase>(builder);
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instrument_->qlInstrument()->setPricingEngine(fxBuilder->engine(boughtCcy, soldCcy));
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setSensitivityTemplate(*fxBuilder);
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additionalData_["soldCurrency"] = soldCurrency_;
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additionalData_["boughtCurrency"] = boughtCurrency_;
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additionalData_["soldAmount"] = soldAmount_;
@@ -150,6 +155,13 @@ void FxForward::build(const boost::shared_ptr<EngineFactory>& engineFactory) {
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additionalData_["settlement"] = settlement_;
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}
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bool FxForward::isExpired(const Date& date) {
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if (includeSettlementDateFlows_)
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return date > maturity_;
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else
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return date >= maturity_;
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}
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QuantLib::Real FxForward::notional() const {
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// try to get the notional from the additional results of the instrument
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try {

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