Non-deliverable cross currency swap

[marcin-rybacki]

This PR extends the FX framework with another rate helper for non-deliverable cross currency swaps.
The main difference, compared to deliverable products, lies in the settlement of cash flows. In non-deliverable case, a few days prior to maturity (according to the FX fixing delay) the FX rate is set to convert foreign cash flow to domestic currency. This required implementing another calculator (using the visitor pattern), in the same way we did it for the resetting helper.

Looking forward to your feedback.

[coveralls]

coverage: 74.255% (+0.08%) from 74.172%
when pulling af0fbd7 on marcin-rybacki:feature/non-deliverable-xccy-swap
into b43bcbf on lballabio:master.

[lballabio]

@marcin-rybacki, @paolodelia99, may you cross-check this PR and #2248 and see if they're consistent or if something might be useful for both? Thanks!

[paolodelia99]

Actually yes, we can use the CrossCcySwap instances in the crosscurrencyratehelpers that would be more self-descriptive. This is also applicable for the non-derivable cross currency swaps introduced in this PR, since the last parameter of the CrossCcySwapEngine is spotFXSettleDate which is the day where the FX rate is set and used to convert foreign cash flow to domestic currency. I'll try to integrate those crossccyswap objects in the crossccyswaphelpers in #2248 and see if I'll have some problems.

[marcin-rybacki]

@marcin-rybacki, @paolodelia99, may you cross-check this PR and #2248 and see if they're consistent or if something might be useful for both? Thanks!

Hi Luigi, I saw only now that I did not reply to your message, apologies. Happy to check this with @paolodelia99, I left a couple of comments in his PR and could help with migrating, if needed.

[lballabio]

Ok, thanks — let me know when the two PRs are ok to merge.

[github-actions]

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[lballabio]

Hello @marcin-rybacki, I just merged #2248. When you have time, please have a look at this PR and check if those new features can be useful for it.

[marcin-rybacki]

Hello @marcin-rybacki, I just merged #2248. When you have time, please have a look at this PR and check if those new features can be useful for it.

Hi @lballabio, thank you. Will do!