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pricing

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FinancePy
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,

notebooks

Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

  • Updated Nov 26, 2021
  • Jupyter Notebook

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