Module fx 

FX forwards and swaps: two cashflows in two currencies, and a pair of them.

An outright forward exchanges base_amount of the base currency against quote_amount of the quote currency on a value date. Every field is passive contract data — amounts, dates, the settlement kind, the two collateral keys its legs discount under — and the instrument carries no scalar type. The rate is derived (quote = −base·rate), which is what makes a swap’s far leg a plain negation of the near and keeps “buy base, sell quote” unambiguous.

A cash-settled forward (the NDF arm) nets both amounts at a published fixing and pays one cashflow in the settlement currency. The fixing date is a contract term — it is written on the confirm — so it is stored here rather than derived at pricing time from an index convention; the index name says which fixing series to read.

Re-exports

pub use crate::marketdata::fixings::FixingSource;

pub use crate::marketdata::fixings::FixingSourceError;

Structs

FxForward

An outright FX forward.

FxOption

A European FX vanilla: a call or put on the base currency against the quote currency, premium in the quote currency. Every field is passive.

FxOptionDiagnostics

What an FX option resolved to when it was priced, passively.

FxSwap

An FX swap: a near forward and a far forward on the same pair in opposite directions.

Enums

FxError

An FX instrument that cannot be built as specified.

Settlement

How a forward settles.

Strike

How an FX option’s strike is stated.

Functions

checked_cash 🔒

A cash settlement on the base/quote pair, checked: settle one of the pair, and a cross fixing the pair’s quote per base in its base.

offshore_collateral 🔒

The collateral keys of a pair settled in settle, (base, quote): the settlement leg on its own curve, the leg never paid on its offshore curve {CCY}-CSA-USD — the dollar-collateralised curve NDF outrights mark, which is where the forward of a currency that cannot be delivered lives, whatever the settlement currency. A dollar leg is its own curve.