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  • 4 commits
  • 4 files changed
  • 1 contributor

Commits on Oct 9, 2013

  1. Create discountingxccyswapengine.hpp

    @midox007
    midox007 committed Oct 9, 2013
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  2. Create discountingxccyswapengine.cpp 

    This class implements the cross currency swap pricing engine. As the vanilla swap pricing engine, we need the floating and fixed legs discounting curves (in their respective currencies), but here we need also the FX spot rate.
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    midox007 committed Oct 9, 2013
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  3. Create crosscurrencyswap.hpp

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    midox007 committed Oct 9, 2013
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  4. Create crosscurrencyswap.cpp 

    This class inherits from the Swap class and implements the cross currency swap instrument.
    @midox007
    midox007 committed Oct 9, 2013
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