Add FX Forward instrument, engine, and tests #2414
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Introduces a new FxForward instrument to QuantLib, including a discounting pricing engine and comprehensive unit tests. Updates project files for integration and adds support for construction via notional amounts or forward rate. The engine prices FX forwards using currency-specific discount curves and spot FX, and exposes fair forward rate and NPV in both currencies. All changes are fully integrated into the build and test suite.
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Hi Dr Luigi,
Introduces a new FxForward instrument to QuantLib, including a discounting pricing engine and comprehensive unit tests. Updates project files for integration and adds support for construction via notional amounts or forward rate. The engine prices FX forwards using currency-specific discount curves and spot FX, and exposes fair forward rate and NPV in both currencies. All changes are fully integrated into the build and test suite.
Attached excel file with test cases.
Thank you
Chirag
FXFwd.xlsx