fx conventions

financepy.utils.fx_conventions

Class

FXConvention

FXConvention(
    spot_lag: int,
    settlement_calendars: tuple[str, ...],
    premium_currency: str | None = None,
    delta_method: FXDeltaMethodTypes | None = None,
) -> None

FXConvention(spot_lag: int, settlement_calendars: tuple[str, ...], premium_currency: str | None = None, delta_method: financepy.utils.global_types.FXDeltaMethodTypes | None = None)

Functions

fx_spot_date


fx_spot_date(
    currency_pair: str,
    trade_dt: Date,
) -> Date

Return the conventional FX spot settlement date.

get_fx_convention


get_fx_convention(
    currency_pair: str,
) -> FXConvention

Return the market conventions for an FX currency pair.

get_fx_spot_lag


get_fx_spot_lag(
    currency_pair: str,
) -> int

Return the conventional FX spot settlement lag.

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