ExternalFXMarket

class sigtech.framework.infra.analytics.fx.fx_market.ExternalFXMarket

Baseclasses: FXCurveMarket

Class overriding base FXCurveMarket functionality if supported by external analytics library specified in config.

calculate_forward_rate(over, under, quote_date, maturity, mode='mid', transaction_type=None, spot_date=None)

Calculate the forward rate for a given currency pair and maturity.

Parameters:

• over – Over currency.

• under – Under currency.

• quote_date – Quote date.

• maturity – Maturity date.

• mode – 'bid', 'ask' or 'mid' ('mid' is default).

• transaction_type – String identifier to indicate type of transaction, e.g. 'outright', 'roll' (optional).

• spot_date – Spot date (optional).

Returns:

Forward rate.