FX

The rateslib.fx module provides FX functionality. This is a necessary part of a fixed income library because it allows:

• consistent treatment of cashflows and values expressed in one currency relative to another,

• the construction of multi-currency derivatives, and of FX forward rates,

• valuation of derivatives with CSAs priced in non-local currencies,

• stored FX rate sensitivity calculations via automatic differentiation.

The two main classes provided are distinct.

• FXRates is a much simpler object designed to record and store FX exchange rate values for a particular settlement date, i.e. it is expected to be used for spot FX rates.

• FXForwards is a more complicated class that requires a mapping of interest rate curves to derive forward FX rates for any settlement date.

It is suggested to proceed by reading the documentation for FXRates first, before then reviewing the documentation for FXForwards.