Forwards
This page shows:
How the instrument
FXForward
is usedHow instrument
FXForward
is pricedHow to use FX Forwards on an intraday basis
Note: Example notebooks
Environment
Setting up your environment takes three steps:
Import the relevant internal and external libraries
Configure the environment parameters
Initialise the environment
Learn more: Setting up the environment
FX Forward instrument
Create a FX Forward object using the building block FXForward
:
To retrieve the strike, use the following code block:
FX Forward curves
Forward instruments are priced in the platform using daily FX curves:
There is a curve stored for each day, using its discount factors/depo rates:
The following graph visualises the discount factors:
Creating strategies
Use the RollingFXForwardStrategy
building block object to create forward contract strategies.
Learn more: Rolling FX Forward Strategy
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