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FinancePy

domokane / FinancePy

Star 834
Open

discount curve from fx forwards / cross currency basis swaps

1
ahabre
ahabre commented Aug 8, 2021

Is there a way to calibrate a discount curve from traded fx forwards?

Taking USDJPY as an example. As an input I have the fx spot, 1M, 3M and 6M forwards , I have also built a USD OIS discount curve. I want to create a JPY discount curve such that I can reprice correctly all of the fx forwards I observe in the market. Is that possible with the current library?

As an extension to the above,

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enhancement good first issue Finance Quant Python Task
Find more good first issues

rsvp / fecon235

Star 777

Notebooks for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics

python finance statistics time-series jupyter-notebook pandas economics housing econometrics gdp fx gold equities inflation federal-reserve bonds asset-pricing interest-rates employment fecon236
  • Updated Dec 3, 2018
  • Jupyter Notebook

MathSci / fecon236

Star 89
Open

Documentation needed

2
rsvp
rsvp commented Jun 19, 2018

So far we have relied largely on demonstrative notebooks
at https://github.com/rsvp/fecon235

The source code here at fecon236 is designed to be more
explicit than casual usage, so if you have experience in
setting up a nice documentation framework, please
kindly volunteer.

The current "docs" need a complete redo, one that starts from fresh eyes.
Nobody peeks at the source code unless t

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enhancement help wanted good first issue

lnsongxf / fecon235

Star 7

Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics

python finance statistics jupyter-notebook pandas economics housing gdp fx gold equities inflation federal-reserve income bonds asset-pricing interest-rates employment time-series-econometrics
  • Updated May 1, 2017
  • Jupyter Notebook

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