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discount curve from fx forwards / cross currency basis swaps #102

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ahabre opened this issue Aug 8, 2021 · 5 comments
Open

discount curve from fx forwards / cross currency basis swaps #102

ahabre opened this issue Aug 8, 2021 · 5 comments
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enhancement New feature or request Finance Quant good first issue Good for newcomers Python Task

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@ahabre
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ahabre commented Aug 8, 2021

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
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domokane commented Aug 9, 2021

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.

@domokane domokane added enhancement New feature or request Finance Quant good first issue Good for newcomers Python Task labels Aug 9, 2021
@nashquant
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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
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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
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Hi
Is there any update to the above request, am looking for similar feature or even a good reference

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

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enhancement New feature or request Finance Quant good first issue Good for newcomers Python Task
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@domokane @Thiyagu07 @ahabre @nashquant