fx forward

financepy.products.fx.fx_forward

Class

FXForward

FXForward(
    settlement_dt: Date,
    strike_fx_rate: float,
    currency_pair: str,
    notional: float,
    notional_ccy: str,
    buy_ccy: str,
) -> None

Deliverable FX forward transaction. The transaction exchanges two currencies at an agreed exchange rate on a specified future settlement date. The buy_currency determines which currency is received and which is paid. FX rates are expressed in units of the second currency per unit of the first currency.

Methods

value


value(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
) -> dict[str, float]

Calculate the present value of the FX forward in both currencies.

Functions

fx_forward_rate


fx_forward_rate(
    value_dt: Date,
    settlement_dt: Date,
    spot_fx_rate: numpy.ndarray | float,
    currency_pair: str,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
) -> float

Calculate the fair forward exchange rate. The spot FX rate is assumed to settle on the conventional spot settlement date determined from the valuation date and currency pair.

Generated automatically from the FinancePy source code. Do not edit this file manually.