Module recipes 

Curve recipes: how a currency’s curves are built, as topology.

A recipe names, per role, the template that builds the curve — a deposit at the front, a policy path on the meeting template, a futures strip, a par-swap strip, or for a cross-collateral key FX swaps and then basis swaps — and, per projection index, whether it telescopes onto the discount curve or has its own strip. It carries no tenor and no pillar: the grid is whatever the quote sheet quotes, bound to the templates by the shape of each quote’s locator. The one dated thing a recipe may carry is an explicit window, for an author who fixes a window whatever the sheet says.

Recipes are reference data. The shipped base (recipe_for) is immutable and carried by every market; a CurveRecipes overlays it per book. A recipe is never executed at pricing time: the sheet binder in the calibration module reads it, and resolution never does.

Modules

eur 🔒

EUR default curve recipe: the ESTR sheet’s topology.

gbp 🔒

GBP default curve recipe: the SONIA sheet’s topology.

offshore 🔒

The offshore (NDF-implied) curves under USD collateral: each local currency’s discount under USD collateral, marked from NDF outrights, for the ten NDS currencies with an EMTA NDF template (THB has none).

ois 🔒

Own-currency recipes that are a par OIS strip and nothing else: one per currency with a registered OIS template and no richer recipe of its own.

spec 🔒

A curve recipe stated as data.

try_in_usd 🔒

TRY-under-USD-collateral cross recipe ({TRY, USD}).

usd 🔒

USD default curve recipe: the SOFR sheet’s topology.

usd_in_eur 🔒

USD-under-EUR-collateral cross recipe ({USD, EUR}).

Structs

CrossRecipeProjectionError

A cross-collateral-keyed recipe carried a projection entry — rejected at CurveRecipes::insert. The projection namespace is flat and index-keyed: an index projects off its own-currency curves, so a cross recipe’s projection entry would silently overwrite the own-currency projection pin for every trade in a context. Only discounting varies by collateral.

CrossRecipeStepError

A cross-collateral-keyed recipe carried a policy path or an explicit window — rejected at CurveRecipes::insert. Policy steps shape an index’s own-currency short end; under a cross key only discounting varies by collateral.

CurveRecipe

A quote-less, per-currency topology: the discount segments in order, per projection index its source, and any windows the recipe fixes. Keyed by currency code (ISO 4217).

CurveRecipes

A resolver layering user overrides over the immutable default base.

ExplicitWindow

A window the recipe fixes whatever the sheet says: the template it is quoted on and its dates.

ProjectionTopologyEntry

One projection index paired with how it is sourced — an entry of a recipe’s projection_topology.

RecipeSpec

A curve recipe stated as data: the collateral key it builds under, the currency, the discount segments in order, a source per projection index, the windows, and an optional triangulation hub.

Segment

One discount segment: a role and the template that builds it.

WindowSpec

A window the recipe fixes, as data.

Enums

CrossRecipeError

Why a CurveRecipes::insert rejected a cross-collateral-keyed recipe.

Projection

How a projection index’s forward curve is sourced.

ProjectionKind

Whether a projection index resolves to its own forward curve or telescopes onto the discount curve — the recipe’s authority on projection topology.

ProjectionSpec

How a projection index is sourced, as data.

RecipeError

Why a template could not take the place a recipe builder gave it.

RecipeSpecError

Why a RecipeSpec could not become a recipe — always naming its key.

Role

What a discount segment contributes to the curve, in the order a desk reads its sheet.

TriangulatedRecipeError

Why a triangulated declaration was rejected at CurveRecipes::insert.

Constants

TURN

The tagged-quote family of a turn-of-period one-period swap.

XCCY

The tagged-quote family of a floating-floating cross-currency basis swap: the quote is the basis spread on the template’s quoted leg.

Statics

REGISTRY 🔒

The registered default recipes, keyed by (cashflow_ccy, collateral_ccy), each single-sourced: a richer recipe in its own file, a par-OIS-only one as a row of ois::OIS_ONLY. (X, X) is a currency’s own recipe; (X, Y) (X ≠ Y) is a cross-collateral recipe. This is the immutable base: never mutated at runtime, and a recipe added here appears to callers without restating.

Functions

canonical

The registered spelling of code, which the registry matches without regard to case; code as given where it is not registered.

collaterals

The registered base collateral keys.

is_degenerate_hub

Whether via is one of key’s own currencies, which collapses the triangle onto the key itself: the one rule a recipe and a market pin share.

keyed 🔒

A registry key from two currency codes, or None where either names no currency.

own_recipe_of 🔒

The {cashflow}-own recipe a cross key’s misplaced entry belongs in, named for a message. A key that decomposes into no currency pair has no own recipe to name, and says so rather than inventing a currency.

recipe_for

The default recipe for key, or None if unregistered. Reads the immutable base; for the effective recipe under user overrides, use CurveRecipes.

shipped 🔒

A shipped recipe’s segment, which names a registered template of the role’s family: a wrong code in a shipped file is a defect the unit test over the registry catches, not a runtime condition.

triangulated_sources

The three source keys of a triangulated cross discount {cashflow, collateral} derived through via, in ratio order: base {collateral, collateral}, numerator {cashflow, via}, denominator {collateral, via}.

try_usd_basis_recipe

The earlier TRY-under-USD basis recipe (FX swaps and a cross-currency swap over a TRY-own curve), no longer the {TRY, USD} default — overlay it on a CurveRecipes when a TRY-own curve is available. The shipped default is the directly-observable fixed-vs-float cross-currency curve. The earlier basis model: FX swaps on TRY-USD-FXSWAP then basis swaps on TRY-USD-CCS, both pinning one FX-basis curve over a TRY-own peer curve. Not the shipped default — overlay it when a TRY-own curve is available.

Type Aliases

RecipeKey

The recipe-registry key: a CollateralSpec ({cashflow_ccy, collateral_ccy}).

RecipeMake 🔒

A recipe constructor, registered against a (cashflow_ccy, collateral_ccy) key.