Case of Foreign Exchange Interest Rate Parity Calculator

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Providing the functionality to calculate swap points and forward prices for both standard and non-standard tenors in bulk using two different methods—swap points and interest rate parity—as well as calculating the worst bid and ask prices and their corresponding dates within an optional period.
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FX and Interest Rate Parity Calculator Case Template Function Description

1. Holiday Calendar Construction Functions

• McpCalendar： Constructs holiday calendar objects for one or more currency pairs.
• McpNCalendar：Constructs holiday calendar objects for multiple currencies.

3. Interest Rate Curve and Forward Curve Construction Functions

• McpYieldCurve2：Interest Rate Curve and Forward Curve Construction Functions
• McpFXForwardPointsCurve2：Constructs a bilateral forward curve object.

4. Calculation-Related Functions

• YieldCurve2ZeroRate：Retrieves the interest rate for a specified maturity date from a bilateral YieldCurve.
• Fxfpc2FXForwardPoints：Retrieves swap points from a bilateral forward curve object.
• Fxfpc2FXForwardOutright：Retrieves the forward outright price from a bilateral forward curve object.
• Fxfpc2TOForwardOutright：Calculates the worst price within a time option period.
• Fxfpc2TimeOptionDate：Calculates the date corresponding to the worst price within a time option period.
• ImpliedFwdPoints：Calculates swap points using interest rates.
• ImpliedForward：Calculates the forward price using interest rates.