Module try_in_usd
Expand description
TRY-under-USD-collateral cross recipe ({TRY, USD}).
The shipped default is the directly-observable fixed-TRY vs
float-USD-SOFR cross-currency model: a fixed-float cross segment whose
quote is the observable fixed TRY rate, pinning the {TRY, USD} discount
curve directly from the USD curves and the FX spot โ no TRY-own curve
required, which is what makes it usable for a thin-rates currency.
The earlier basis model (FX swaps then a deliverable cross-currency
swap, calibrating an FX-basis curve on top of a TRY-own curve) remains
available as basis_recipe for callers who hold a TRY-own curve and
overlay it on a CurveRecipes.
Functionsยง
- basis_
recipe - The earlier basis model: FX swaps on
TRY-USD-FXSWAPthen basis swaps onTRY-USD-CCS, both pinning one FX-basis curve over a TRY-own peer curve. Not the shipped default โ overlay it when a TRY-own curve is available. - recipe ๐
- The shipped
{TRY, USD}default: the fixed-float cross onTRY-USD-CCS.