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Commit 534232e

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Xiaofeng Hao
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Fix QL_REQUIRE for physical-settled FX Forward
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QuantExt/qle/pricingengines/discountingfxforwardengine.cpp

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -97,7 +97,7 @@ void DiscountingFxForwardEngine::calculate() const {
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Real fx1 = settleCcy1 ? 1.0 : fxfwd;
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Real fx2 = settleCcy1 ? 1 / fxfwd : 1.0;
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QL_REQUIRE(!arguments_.isPhysicallySettled || arguments_.payDate <= arguments_.fixingDate ||
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QL_REQUIRE(arguments_.isPhysicallySettled || arguments_.payDate <= arguments_.fixingDate ||
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arguments_.fxIndex != nullptr,
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"If pay date (" << arguments_.payDate << ") is strictly after fixing date (" << arguments_.fixingDate
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<< "), an FX Index must be given for a cash-settled FX Forward.");

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