Multi-Currency Derivatives#

Multi-currency derivatives are generally more complicated two-leg structures.

Inheritance diagram of rateslib.instruments.XCS, rateslib.instruments.FXSwap, rateslib.instruments.FXExchange

rateslib.instruments.XCS(*args[, fixed, ...])

Create a cross-currency swap (XCS) composing relevant fixed or floating Legs.

rateslib.instruments.FXSwap(*args[, ...])

Create an FX swap simulated via a Fixed-Fixed XCS.

rateslib.instruments.FXExchange(settlement, ...)

Create a simple exchange of two currencies.

rateslib.instruments.forward_fx(date, ...[, ...])

Return a forward FX rate based on interest rate parity.