Module 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).

Every recipe here is a discount and nothing else, as a cross-collateral recipe must be: the projection namespace is index-keyed, and an offshore pin of INR-MIBOR would overwrite the onshore INR recipe’s. NDS par rates do not mark this curve — an NDS’s payments all convert by one factor, so its quotes identify the index’s projection and barely the discount — and are taken instead by an NDS strip on the index’s own recipe (CurveRecipe::with_nds_strip), solved against this curve held.

Functions

brl 🔒

BRL under USD, from BRL NDF outrights.

clp 🔒

CLP under USD, from CLP NDF outrights.

cny 🔒

CNY under USD, from CNY NDF outrights.

cop 🔒

COP under USD, from COP NDF outrights.

idr 🔒

IDR under USD, from IDR NDF outrights.

inr 🔒

INR under USD, from INR NDF outrights.

krw 🔒

KRW under USD, from KRW NDF outrights.

myr 🔒

MYR under USD, from MYR NDF outrights.

ndf 🔒

[ndf <ndf>] for currency.

php 🔒

PHP under USD, from PHP NDF outrights.

twd 🔒

TWD under USD, from TWD NDF outrights.