FX market conventions

This page lists the FX templates the pinned release registers: the FX swap templates and the cross-currency swap templates, deliverable and non-deliverable. Non-deliverable forwards, swaps and options have their own page, Non-deliverable conventions.

Every table is printed from the template registry each time the documentation is built, in both languages, and the two printings must agree.

What each column means

Column	What it holds
Template	the registry code you book a trade with
Registry name	the name the registry files the template under
Calendar	the business-centre calendar an FX swap's dates are counted on

A cross-currency template's code names its pair and kind: -CCS books a deliverable swap, -NDCCS a non-deliverable one settled in a third currency, and -ZERO a zero-coupon swap.

The catalog

FX swap templates

Template	Registry name	Calendar
EUR-USD-FXSWAP	eur_usd_fxswap	EUTA,USNY
TRY-USD-FXSWAP	try_usd_fxswap	TRIS,USNY
USD-EUR-FXSWAP	usd_eur_fxswap	USNY,EUTA

Cross-currency swap templates

Template	Registry name
ARS-USD-NDCCS	ars_usd_ndccs
CAD-USD-CORRA-SOFR-BASIS	cad_usd_corra_sofr_basis_q
CLP-USD-NDCCS	clp_usd_ndccs
CNH-USD-CCS	cnh_usd_ccs_q
COP-USD-NDCCS	cop_usd_ndccs
CZK-EUR-PRIBOR-EURIBOR-BASIS	czk_eur_pribor_euribor_basis_q
DKK-USD-CIBOR-SOFR-BASIS	dkk_usd_cibor_sofr_basis_q
EUR-USD-ESTR-SOFR-BASIS	eur_usd_estr_sofr_basis_q
EUR-USD-ESTR-SOFR-BASIS-NR	eur_usd_estr_sofr_basis_nr
GBP-USD-SONIA-SOFR-BASIS	gbp_usd_sonia_sofr_basis_q
HKD-USD-HIBOR-SOFR-BASIS	hkd_usd_hibor_sofr_basis_q
INR-USD-NDCCS	inr_usd_ndccs
PEN-USD-NDCCS	pen_usd_ndccs
TRY-USD-CCS	try_usd_ccs
USD-BRL-ZERO	usd_brl_simple_zero

Where these come from

Both tables come from the template registry: templates.catalogue() in Python, the template registry's codes and lookup in Rust, filtered by family. A template's calendar is Template.calendar(). The terms a template books are read from the instrument it builds; see FX swaps, cross-currency swaps and NDS and NDCCS. FX vols are on FX volatility surfaces.