FXMarket

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

Baseclasses: BaseFXMarket

Class calculating yield curves used for forward rate calculation. It should only be used for USD-based FX forwards and depending on the config setting either Curve or ForwardPoint market is used.

In case of curve market, the foreign curve is implied from market FX forwards, and rates are interpolated according to the curve settings. The FX forwards are computed using the following formula:

\[FX_t = FX_0 \frac{P_{for}(0, t)}{P_{dom}(0,t)}\]

In case of forward points market, the FX forward points are interpolated form the market inputs (or pre-stored points) and then added to the spot in accordance with the corresponding market convention:

\[FX_t = FX_0 + {FXPoint}_t\]

universes = {'EXTERNAL_FX_UNIVERSE': <class 'sigtech.framework.infra.analytics.fx.fx_market.ExternalFXMarket'>, 'FWD_POINTS_UNIVERSE': <class 'sigtech.framework.infra.analytics.fx.fx_market.ForwardPointMarket'>, 'SIG_CURVE_UNIVERSE': <class 'sigtech.framework.infra.analytics.fx.fx_market.FXCurveMarket'>}