Module fx
Expand description
FX spot rates.
A spot rate is a market observation with its own risk axis — the FX delta — so it follows the same storage/lift/substitution rule as a curve pillar or a fixing.
Rates are stored one way per pair and the inverse is derived, because a
store holding both EURUSD and USDEUR as independent numbers can hold two
that disagree, and it would report FX delta on two axes for one market fact.
Deriving the inverse also means the reciprocal’s sensitivity falls out of the
mode’s own arithmetic rather than being asserted.
Structs§
- Currency
Pair - An ordered currency pair, quoted as quote units per one base.
- Currency
Pair Parse Error - A spelling that names no currency pair.
- FxRates
- FX spot rates, one stored direction per pair.
- FxView
FxRateslifted into one pricing mode.