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Module try_in_usd

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-FXSWAP then basis swaps on TRY-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 ๐Ÿ”’
The shipped {TRY, USD} default: the fixed-float cross on TRY-USD-CCS.