FX

Vade's FX analytics cover spot rate triangulation, forward rate construction, cross-currency swaps, and non-deliverable instruments. Build consistent FX rate systems from a sparse set of market quotes, derive implied curves from FX forwards, and price instruments across currency pairs including restricted emerging market currencies.

What's Covered

• Spot rates -- FXRates with automatic triangulation across any currency pair from a base set of quotes
• Forwards -- FXForwards and FXForward for forward rate construction from interest rate differentials
• Cross-currency swaps -- XCS pricing with dual-curve discounting and FX basis
• Non-deliverable instruments -- NDF (non-deliverable forward), NDIRS (non-deliverable interest rate swap), NDXCS (non-deliverable cross-currency swap)
• Implied curves -- FXImpliedCurve deriving discount factors from FX forwards and a reference curve

Key Concepts

• Spot rate -- the exchange rate for immediate (T+2) settlement between two currencies
• Forward points -- the difference between the FX forward rate and the spot rate, driven by interest rate differentials
• Cross rate -- an exchange rate derived from two other rates via a common currency (e.g., EUR/JPY from EUR/USD and USD/JPY)
• Triangulation -- the process of computing cross rates through an intermediate currency to maintain no-arbitrage consistency
• Covered interest parity -- the relationship linking spot rates, forward rates, and interest rate differentials across currencies
• Non-deliverable forward -- an FX forward settled in a convertible currency rather than the restricted currency, common for emerging markets (BRL, INR, KRW)
• Fixing -- the official exchange rate published by a central bank or industry body, used for NDF settlement

Quick Taste

fxr = FXRates(fx_rates={"eurusd": 1.08, "usdjpy": 149.50}, settlement=effective)
cross = float(fxr.rate("eurjpy"))
# Triangulated cross rate: EUR/JPY = EUR/USD * USD/JPY
assert abs(cross - 1.08 * 149.50) < 0.01

Guides

• FX Rates & Forwards -- FX rate triangulation and forward construction
• Cross-Currency Swaps -- Cross-currency swap pricing and risk
• Non-Deliverable Instruments -- NDF and non-deliverable swap pricing for restricted currencies

API Reference

• FX -- FXRates, FXForwards, FXPair
• Instruments -- XCS, FXForward, NDF, NDIRS, NDXCS
• Curves -- FXImpliedCurve