FXIndex#

class rateslib.data.fixings.FXIndex(pair, calendar, settle, isda_mtm_calendar=NoInput.blank, isda_mtm_settle=NoInput.blank, allow_cross=NoInput.blank)#

Bases: object

Define the parameters of a specific FX pair and fixing index.

This object acts as a container to store market conventions for different FX pairs. This allows the determination of dates under different methodologies, e.g. ISDA MTM fixings or spot settlement dates.

Examples

In [1]: fxi = FXIndex(
   ...:     pair="eurusd",
   ...:     calendar="tgt|fed",      # <- Spot FX measures settlement dates according to this calendar
   ...:     settle=2,
   ...:     isda_mtm_calendar="ldn", # <- MTM XCS FX fixing dates are determined according to this calendar
   ...:     isda_mtm_settle=-2,
   ...: )
   ...: 

In [2]: fxi.delivery(dt(2025, 7, 3))
Out[2]: datetime.datetime(2025, 7, 7, 0, 0)

In [3]: fxi.isda_fixing_date(dt(2025, 7, 3))
Out[3]: datetime.datetime(2025, 7, 1, 0, 0)

Parameters:

pair (str, required) – The currency pair of the FX fixing. 6-digit iso code.
calendar (Calendar, str, required) – The calendar associated with the FX settlement date determination.
settle (Adjuster, int, str optional (set by ‘defaults’)) – The delivery lag applied to any FX quotation to adjust ‘today’ to a delivery date, under the given calendar. If int is assumed to be settleable business days.
isda_mtm_calendar (Calendar, str, optional) – The calendar associated with the MTM fixing date determination.
isda_mtm_settle (Adjuster, str, int, optional,) – The adjustment applied to determine the MTM fixing date.
allow_cross (bool, optional (set as True)) – This allows sub-division of the fixing into its majors as defined by WMR benchmark methodology. For an example of using a cross see the documentation for an FXFixing.

Attributes Summary

`allow_cross`	Whether to allow FXFixings which sub-divide into USD or EUR crosses.
`calendar`	The calendar associated with the settlement delivery date determination.
`isda_mtm_calendar`	The calendar associated with the MTM fixing date determination.
`isda_mtm_settle`	The `Adjuster` associated with the MTM fixing date determination.
`pair`	The currency pair of the FX fixing.
`settle`	The `Adjuster` associated with determining the settlement delivery date.

Methods Summary

`delivery`(date)	Return the settlement delivery date associated with the publication date.
`isda_fixing_date`(delivery)	Return the MTM FX fixing date under ISDA conventions.
`publications`(delivery)	Return the potential publication dates that result in a given settlement delivery date.

Attributes Documentation

allow_cross#: Whether to allow FXFixings which sub-divide into USD or EUR crosses.

calendar#: The calendar associated with the settlement delivery date determination.

isda_mtm_calendar#: The calendar associated with the MTM fixing date determination.

isda_mtm_settle#: The Adjuster associated with the MTM fixing date determination.

pair#: The currency pair of the FX fixing.

settle#: The Adjuster associated with determining the settlement delivery date.

Methods Documentation

delivery(date)#

Return the settlement delivery date associated with the publication date.

Parameters:: date (datetime) – The publication date of the quotation.
Return type:: datetime

isda_fixing_date(delivery)#

Return the MTM FX fixing date under ISDA conventions.

Parameters:: delivery (datetime) – The delivery date of the notional exchange.
Return type:: datetime

Notes

If isda attributes are not fully qualified on the object then uses the reverse method to reverse engineer the FX quotation date as a proxy.

publications(delivery)#

Return the potential publication dates that result in a given settlement delivery date.

Parameters:: delivery (datetime) – The settlement delivery date of the publication.
Return type:: list[datetime]

FXIndex#

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