I have a portfolio of FX Single trades and am calculating the measures “Measures.PRESENT_VALUE” and “Measures.FORWARD_FX_RATE” for these trades.
My question is: Which formula is used to calculate the resulting “forward fx rate” measure? I can’t seem to find the used formula in the code repository.
I am doing the calculation with the following code (excerpt):
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroup);
CalculationRules rules = CalculationRules.of(functions, com.opengamma.strata.basics.currency.Currency.of("EUR"), ratesLookup);
ReferenceData refData = ReferenceData.standard();
Results results = runner.calculate(rules, fxfwdtrades.GetFXSingleTrades(), columns, marketData, refData);
Pair resultPairs = Pair.of(fxfwdtrades.GetFXSingleTrades(), results);
fxfwdresultList = ProcessAndReturnResults(resultPairs, fxfwdtrades, VAL_DATE);