FX Rates & Forwards

Set up multi-currency FXRates with graph-based triangulation, compute forward exchange rates with FXForwards from interest rate parity, and price tradeable FXForward instruments against discount curves.

FX Rates and Triangulation

FXRates discovers all cross rates automatically from a sparse set of quoted pairs. Provide any connected set of currency pairs and query arbitrary crosses -- the triangulation engine finds the shortest path through the currency graph.

float(fxr.rate("eurusd"))   # 1.08
float(fxr.rate("eurgbp"))   # 0.8503937007874016
float(fxr.rate("gbpjpy"))   # 189.865

fxr.currencies               # ['eur', 'gbp', 'jpy', 'usd']

float(fxr.convert(1_000_000, "eur", "usd"))  # 1080000.0

FX Forwards

FXForwards computes forward exchange rates from interest rate parity. Given spot rates and discount curves for each currency, the forward rate reflects the interest rate differential over the delivery period. Forward points are the difference between the forward and spot rates.

float(fxf.rate("eurusd", datetime.date(2026, 6, 16), curves={"usd": usd_curve, "eur": eur_curve}))    # 1.0895470734849848
float(fxf.points("eurusd", datetime.date(2026, 6, 16), curves={"usd": usd_curve, "eur": eur_curve}))  # 0.009547073484984736

FX Forward Instrument

An FXForward is a tradeable instrument that locks in an exchange rate for a future delivery date. It prices against two discount curves (one per currency) and the spot FX rates.

fwd = FXForward(pair="eurusd", notional=1_000_000.0, delivery=datetime.date(2026, 6, 16))

float(fwd.npv(usd_curve, eur_curve, fxr))   # 8487.043853479321
float(fwd.rate(usd_curve, eur_curve, fxr))   # 1.0705365820213681

Next Steps

• Cross-Currency Swaps -- Cross-currency swap pricing and risk
• Non-Deliverable Instruments -- NDF and non-deliverable swap pricing for restricted currencies