private static FxForwardPointTermStructure UsdEurFwdPointStructure(DateTime todaysDate)
{
ExchangeRate spotExchRate = ExchangeRateManager.Lookup(Currency.USD, Currency.EUR, todaysDate);
if (spotExchRate.BaseCurrency != Currency.USD)
{
spotExchRate = spotExchRate.Inverse();
}
var builder = new FxForwardPointTermStructure.Builder(todaysDate, spotExchRate)
{
BaseCalendar = CalendarName.UnitedStatesFederalReserve,
QuoteCalendar = CalendarName.TARGET,
DayCounter = DayCounter.Actual360,
ForwardPoints = new[]
public ForwardPointsEngine(ExchangeRate spotExchangeRate, FxForwardPointTermStructure forwardPointsCurve,
YieldTermStructure baseDiscountCurve, YieldTermStructure quoteDiscountCurve)
: base(new QlFwdPtsEngine(spotExchangeRate.QlObj, forwardPointsCurve.GetHandle(), baseDiscountCurve.GetHandle(), quoteDiscountCurve.GetHandle()))
{
}
