Module xccy 

Cross-currency swap templates — the xccy group.

Cross-currency swaps differ structurally from single-currency swaps along four axes: per-leg currency, per-leg calendar (often joint), per-leg roll direction, and a swap-level notional-exchange shape. These do not fit the single-currency super::SwapTemplate, so the group carries its own value-type bundle. Currencies are ISO 4217 codes (as on crate::statics::indices::OvernightIndex), keeping statics free of any market dependency.

MTM-resetting templates carry shape only (NotionalExchange::Mtm); MTM pricing is out of scope for this layer.

Structs

CsaSpec

Collateral (CSA) specification: collateral currency + its overnight index.

FxIndexSpec

FX-index metadata for an MTM-resetting cross-currency swap.

LegFx

Where a non-deliverable leg’s FX fixing comes from: a source, as an NDS row names one, and an optional fixing calendar overriding the source’s — BRL fixes on Brazil and New York days where its NDF template names Brazil alone.

XccyLegTemplate

Per-leg conventions for a cross-currency swap leg.

XccySwapTemplate

Per-leg conventions for a cross-currency swap: two legs plus swap-level fields.

Enums

AccretionMode

OIS-leg spread-compounding mode. ExclSprd adds the spread after compounding the daily index; InclSprd folds it into each daily step.

CouponMode

Coupon-payment shape: periodic coupons vs a single payment at maturity.

Deliverability

Deliverable vs non-deliverable.

FixingAnchor

What a non-deliverable coupon’s FX fixing is dated from.

IborProjection

The window an IBOR leg’s coupon reads its index over.

NotionalExchange

Notional-exchange shape. Mtm carries shape only (its reset_dates are populated at trade time); MTM pricing is out of scope here.

ResetPosition

IBOR-leg fixing timing. OIS-compounded legs are structurally In-Arrears, so this is carried only on XccyLegKind::IborProjected.

XccyLegKind

Per-leg rate-projection mechanism. Orthogonal to the swap-level CouponMode.

XccyLegSide

Which template leg carries the quoted spread / rate.

XccyTemplateError

Why a customised cross-currency template could not be built.

Statics

XCCY

Registry rows for the cross-currency group.

Functions

ars_usd_ndccs

ARS fixed / USD SOFR NDCCS — fixed leg only. Settlement: USD on the ARS NDF template’s fixing, Payment − 2 BD on ARBA and USNY (ARS05, the registered NDF template’s fixing); timeline MP8. Coupon terms — semi-annual ACT/360 — are UNVERIFIED: no source states them.

cad_usd_corra_sofr_basis_q

CAD CORRA / USD SOFR OIS-OIS basis swap. MTM (CADUSD on a 3-way Canada ∪ US ∪ London fixing calendar), USD/SOFR collateral, quoted on the CAD leg.

clp_usd_ndccs

CLP fixed / USD SOFR NDCCS. Settlement: USD on CLP DOLAR.OBS (CLP10), Payment − 2 BD on CLSA and USNY; timeline MP8. Coupon terms — semi-annual ACT/360 on Santiago and New York — are inferred from the CLP NDS template.

cnh_usd_ccs_q

CNH fixed / USD SOFR OIS cross-currency swap on a 3-way China-Interbank ∪ Hong Kong ∪ US calendar. Non-MTM, USD/SOFR collateral, quoted on the CNH leg.

cop_usd_ndccs

COP fixed / USD SOFR NDCCS. Settlement: USD on COP TRM (COP02), Payment − 2 BD on USNY and COBO; timeline MP8. Coupon terms — quarterly ACT/360 on Bogotá and New York — are inferred from the COP NDS template.

czk_eur_pribor_euribor_basis_q

CZK PRIBOR-3M / EUR EURIBOR-3M IBOR-IBOR basis swap. MTM (EURCZK), the only EUR/ESTR-collateralized template here, quoted on the CZK leg.

days 🔒

dkk_usd_cibor_sofr_basis_q

DKK CIBOR-3M / USD SOFR mixed IBOR-OIS basis swap. MTM (USDDKK), USD/SOFR collateral, quoted on the DKK leg.

eur_usd_estr_sofr_basis_nr

EUR ESTR / USD SOFR OIS-OIS basis swap without notional resets: principal is exchanged at start and end at the struck FX, with no FX index. Otherwise the conventions of eur_usd_estr_sofr_basis_q.

eur_usd_estr_sofr_basis_q

EUR ESTR / USD SOFR OIS-OIS basis swap. MTM-resetting (EURUSD on London), USD/SOFR collateral, quoted on the EUR leg.

fixed_leg 🔒

Fixed-rate cross-currency leg. frequency, end_of_month, and pay_delay vary per template.

frequency_of 🔒

The coupon frequency an IBOR index’s tenor pays at.

fx 🔒

An MtM reset FX-index spec. The reset lag is uniformly 2 business days and reset_center is the joint publication calendar, both per the pair’s row in the ISDA MTM Matrix for Mark-to-market Currency Swaps (2006 ISDA Definitions edition, published 2017-09-07) — verified verbatim: EUR/USD and GBP/USD fix “two London Business Days prior”; CAD/USD “two Toronto, New York and London”; EUR/CZK “two Prague Business Days and two TARGET Settlement Days”; USD/DKK “two Copenhagen Business Days”.

gbp_usd_sonia_sofr_basis_q

GBP SONIA / USD SOFR OIS-OIS basis swap (GBP ACT/365F vs USD ACT/360). MTM (GBPUSD on London), USD/SOFR collateral, quoted on the GBP leg.

hkd_usd_hibor_sofr_basis_q

HKD HIBOR-3M / USD SOFR mixed IBOR-OIS basis swap. HIBOR fixes same-day (fixing_lag = 0 BD). Non-MTM, USD/SOFR collateral, quoted on the HKD leg.

ibor_leg 🔒

Term-IBOR-projected cross-currency leg: Quarterly, EOM, Backward, In-Advance. fixing_lag / pay_delay vary per screen.

inr_usd_ndccs

INR fixed / USD SOFR NDCCS. Settlement: USD on INR FBIL (INR01) under the Asian Terms. Coupon terms — semi-annual ACT/365F on Mumbai and New York — are inferred from the INR NDS template (CME Rule 901 F(c)). The period-end fixing and the two-day payment lag follow MP8 by inference: MP8 is a LatAm practice.

mtm 🔒

ndccs 🔒

An EM fixed / USD SOFR non-deliverable cross-currency swap row: the EM leg fixed, quoted, paying two business days after each period end; the SOFR leg compounding on ACT/360 at the same frequency and lag; principal exchanged at the end alone; the EM leg settling in USD on ndf’s fixing, each coupon fixing two business days before its period end for value on it (EMTA-ISDA MP8, 4 Jan 2022); USD SOFR collateral.

ois_leg 🔒

Overnight-compounded (OIS) cross-currency leg: Quarterly, EOM, Backward, ExclSprd, fixing_lag = 0 BD, pay_delay = 2 BD; the screens’ 1 BD rate cut-off is deliberately not modelled (see XccyLegTemplate).

pen_usd_ndccs

PEN fixed / USD SOFR NDCCS — fixed leg only. Settlement: USD on PEN05, Payment − 2 BD on USNY and PELI; timeline MP8. Coupon terms — semi-annual ACT/360 — are UNVERIFIED: no source states them.

resolve_overnight 🔒

try_usd_ccs

TRY fixed / USD SOFR OIS cross-currency swap. AtStartAndEnd, USD/SOFR collateral, quoted on the TRY (fixed) leg.

usd_brl_simple_zero

USD fixed / BRL CDI zero-coupon non-deliverable cross-currency swap — the offshore DI × dólar swap. Each leg pays once at termination: the BRL leg compounds the CDI over Brazilian business days, ∏(1 + CDI_j)^(1/252) − 1 (the BRL-CDI-NDS leg’s arithmetic), and the USD leg accrues its fixed rate simply on ACT/360. Quoted on the USD fixed rate — the cupom cambial — against CDI flat. The BRL leg, its final exchange included, settles in USD at BRL PTAX (BRL09), fixing two Brazil-and-New-York business days before payment (USNY and any of BR{SP,RJ,BR}). Principal is exchanged at the end alone; USD SOFR collateral. Payment on termination is inferred: the CME rule’s “+1 BD” is for the NDIRS, and no source states the CCS’s.