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domokane / FinancePy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
GNU General Public License v3.0
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discount curve from fx forwards / cross currency basis swaps #102

Open ahabre opened 2 years ago

ahabre commented 2 years ago

Is there a way to calibrate a discount curve from traded fx forwards?

Taking USDJPY as an example. As an input I have the fx spot, 1M, 3M and 6M forwards , I have also built a USD OIS discount curve. I want to create a JPY discount curve such that I can reprice correctly all of the fx forwards I observe in the market. Is that possible with the current library?

As an extension to the above, to be able to price fx forwards and cross currency basis swaps, one discount curve is created that calibrates to the fx forwards in the short tenors and to the market traded cross currency basis swaps in the long tenors. Are there any plans to introduce such a discount curve to the library?

domokane commented 2 years ago

This should be possible and I can look into it. I am very busy now but I am happy for someone to have a go at implementing this.

nashquant commented 1 year ago

This looks interesting, I can start taking a look into it, after I finish my pending items in Equity Swaps. Please, let me know if this is still open, and if you have any good references to serve as guidance.

Thanks!

nashquant commented 1 year ago

Just FYI, I've released the PR with changes for Equity Swaps, sorry for the delay, I've been busy these last few weeks.

@domokane, I'd be happy to start studying this issue now, or would you suggest me looking anything else?

Best, @nashquant

Thiyagu07 commented 6 months ago

Hi Is there any update to the above request, am looking for similar feature or even a good reference

domokane commented 6 months ago

Hi - no this has not been done yet. I will look into it. I don't have a good reference. best D