REF: FXFixings only derived via majors (#209) (#1124)

Author: attack68

python/rateslib/data/fixings.py

@@ -267,7 +267,8 @@ class FXFixing(_BaseFixing):
         The initial value for the fixing to adopt. Most commonly this is not given and it is
         determined from a timeseries of published FX rates.
     identifier: str, optional
-        The string name of the timeseries to be loaded by the *Fixings* object.
+        The string name of the series to be loaded by the *Fixings* object. Will be
+        appended with "_{pair}" to derive the full timeseries key
 
     Examples
     --------
@@ -281,14 +282,16 @@ class FXFixing(_BaseFixing):
 
     .. ipython:: python
 
-       fixings.add("EURGBP-x89", Series(index=[dt(2000, 1, 1)], data=[0.905]))
-       fxfix = FXFixing(date=dt(2000, 1, 1), pair="eurusd", identifier="EURGBP-x89")
-       fxfix.value
+       fixings.add("WMR_10AM_TYO_T+2_USDJPY", Series(index=[dt(2000, 1, 1)], data=[155.00]))
+       fixings.add("WMR_10AM_TYO_T+2_AUDUSD", Series(index=[dt(2000, 1, 1)], data=[1.260]))
+       fxfix = FXFixing(date=dt(2000, 1, 1), pair="audjpy", identifier="WMR_10AM_TYO_T+2")
+       fxfix.value  #  <--  should be 1.26 * 155 = 202.5
 
     .. ipython:: python
        :suppress:
 
-       fixings.pop("EURGBP-x89")
+       fixings.pop("WMR_10AM_TYO_T+2_USDJPY")
+       fixings.pop("WMR_10AM_TYO_T+2_AUDUSD")
 
     """
 
@@ -301,6 +304,87 @@ def __init__(
     ) -> None:
         super().__init__(date=date, value=value, identifier=identifier)
         self._pair = pair.lower()
+        self._is_cross = "usd" not in self._pair
+
+    @property
+    def is_cross(self) -> bool:
+        """Whether the fixing is a cross rate derived from other USD dominated fixings."""
+        return self._is_cross
+
+    def _value_from_possible_inversion(self) -> DualTypes_:
+        direct, inverted = self.pair, f"{self.pair[3:6]}{self.pair[0:3]}"
+        try:
+            state, timeseries, bounds = fixings.__getitem__(self._identifier + "_" + direct)
+            exponent = 1.0
+        except ValueError as e:
+            try:
+                state, timeseries, bounds = fixings.__getitem__(self._identifier + "_" + inverted)
+                exponent = -1.0
+            except ValueError:
+                raise e
+
+        if state == self._state:
+            return NoInput(0)
+        else:
+            self._state = state
+            v = self._lookup_and_calculate(timeseries, bounds)
+            if isinstance(v, NoInput):
+                return NoInput(0)
+            self._value = v**exponent
+            return self._value
+
+    def _value_from_cross(self) -> DualTypes_:
+        lhs1, lhs2 = "usd" + self.pair[:3], self.pair[:3] + "usd"
+        try:
+            state_l, timeseries_l, bounds_l = fixings.__getitem__(self._identifier + "_" + lhs1)
+            exponent_l = -1.0
+        except ValueError:
+            try:
+                state_l, timeseries_l, bounds_l = fixings.__getitem__(self._identifier + "_" + lhs2)
+                exponent_l = 1.0
+            except ValueError:
+                raise ValueError(
+                    "The LHS cross currency has no available fixing series, either "
+                    f"{self._identifier + +'_' + lhs1} or {self._identifier + '_' + lhs2}"
+                )
+
+        rhs1, rhs2 = "usd" + self.pair[3:], self.pair[3:] + "usd"
+        try:
+            state_r, timeseries_r, bounds_r = fixings.__getitem__(self._identifier + "_" + rhs1)
+            exponent_r = 1.0
+        except ValueError:
+            try:
+                state_r, timeseries_r, bounds_r = fixings.__getitem__(self._identifier + "_" + rhs2)
+                exponent_r = -1.0
+            except ValueError:
+                raise ValueError(
+                    "The RHS cross currency has no available fixing series, either "
+                    f"{self._identifier + '_' + lhs1} or {self._identifier + '_' + lhs2}"
+                )
+
+        if hash(state_l + state_r) == self._state:
+            return NoInput(0)
+        else:
+            self._state = hash(state_l + state_r)
+            v_l = self._lookup_and_calculate(timeseries_l, bounds_l)
+            v_r = self._lookup_and_calculate(timeseries_r, bounds_r)
+            if isinstance(v_l, NoInput) or isinstance(v_r, NoInput):
+                return NoInput(0)
+            self._value = v_l**exponent_l * v_r**exponent_r
+            return self._value
+
+    @property
+    def value(self) -> DualTypes_:
+        if not isinstance(self._value, NoInput):
+            return self._value
+        else:
+            if isinstance(self._identifier, NoInput):
+                return NoInput(0)
+            else:
+                if self.is_cross:
+                    return self._value_from_cross()
+                else:
+                    return self._value_from_possible_inversion()
 
     def _lookup_and_calculate(
         self, timeseries: Series, bounds: tuple[datetime, datetime] | None

python/rateslib/instruments/irs.py

@@ -253,14 +253,14 @@ class IRS(_BaseInstrument):
 
     .. ipython:: python
 
-       fixings.add("USDTHB", Series(index=[dt(2000, 7, 3), dt(2001, 1, 3)], data=[35.25, 37.0]))
+       fixings.add("WMR_10AM_TYO_T+2_USDTHB", Series(index=[dt(2000, 7, 3), dt(2001, 1, 3)], data=[35.25, 37.0]))
        irs = IRS(
            effective=dt(2000, 1, 1),
            termination="2y",
            frequency="S",
            currency="usd",    #  <- USD set as the settlement currency
            pair="usdthb",     #  <- THB inferred as the reference currency
-           fx_fixings="USDTHB",
+           fx_fixings="WMR_10AM_TYO_T+2",
            fixed_rate=2.0,
            # all other arguments set as normal IRS
        )
@@ -269,7 +269,7 @@ class IRS(_BaseInstrument):
     .. ipython:: python
        :suppress:
 
-       fixings.pop("USDTHB")
+       fixings.pop("WMR_10AM_TYO_T+2_USDTHB")
 
     Further information is available in the documentation for a :class:`~rateslib.legs.FixedLeg`.
 

python/rateslib/instruments/ndxcs.py

@@ -62,7 +62,7 @@ class NDXCS(_BaseInstrument):
 
     .. ipython:: python
 
-       fixings.add("USDINR", Series(index=[dt(2025, 1, 8), dt(2025, 7, 8)], data=[92.0, 92.5]))
+       fixings.add("WMR_10AM_TY0_T+2_USDINR", Series(index=[dt(2025, 1, 8), dt(2025, 7, 8)], data=[92.0, 92.5]))
        ndxcs = NDXCS(
            effective=dt(2025, 1, 8),
            termination="1y",
@@ -71,7 +71,7 @@ class NDXCS(_BaseInstrument):
            pair="usdinr",
            notional=5e6,           # <- INR Leg
            fixed=True,
-           fx_fixings="USDINR",
+           fx_fixings="WMR_10AM_TY0_T+2",
            leg2_fx_fixings=91.55,  # <- USD Notional at execution
            payment_lag=0,
        )
@@ -323,11 +323,11 @@ class NDXCS(_BaseInstrument):
                  effective=dt(2026, 1, 1),
                  termination="18M",
                  frequency="S",
-                 currency="usd",       #  <-  USD settlement currency
-                 pair="usdinr",        #  <-  INR reference currency implied
-                 notional=500e6,       #  <-  Leg1 is based on the reference currency
-                 fx_fixings="USDINR",  #  <-  Data series tag for FXFixings
-                 leg2_fx_fixings=92.0, #  <-  The USD Leg notional is implied as 5.43mm
+                 currency="usd",          #  <-  USD settlement currency
+                 pair="usdinr",           #  <-  INR reference currency implied
+                 notional=500e6,          #  <-  Leg1 is based on the reference currency
+                 fx_fixings="WMR_10AM_TY0_T+2",
+                 leg2_fx_fixings=92.0,    #  <-  The USD Leg notional is implied as 5.43mm
              )
              ndxcs.cashflows()
 
@@ -356,18 +356,18 @@ class NDXCS(_BaseInstrument):
 
           .. ipython:: python
 
-             fixings.add("USDCHF", Series(index=[dt(2025, 1, 8)], data=[0.9]))
+             fixings.add("WMR_10AM_TY0_T+2_USDCHF", Series(index=[dt(2025, 1, 8)], data=[0.9]))
              ndxcs = NDXCS(
                  effective=dt(2026, 1, 1),
                  termination="18M",
                  frequency="S",
-                 currency="usd",            #  <-  USD settlement currency
-                 pair="usdinr",             #  <-  INR reference currency 1 implied
-                 leg2_pair="usdchf",        #  <-  CHF reference currency 2 implied
-                 notional=500e6,            #  <-  Leg1 is based on the reference currency 1
-                 leg2_notional=500e6/125.0, #  <-  Leg2 entered directly in ref currency 2 units
-                 fx_fixings="USDINR",       #  <-  Data series tag for FXFixings on Leg1
-                 leg2_fx_fixings="USDCHF",  #  <-  Data series tag for FXFixings on Leg2
+                 currency="usd",               #  <-  USD settlement currency
+                 pair="usdinr",                #  <-  INR reference currency 1 implied
+                 leg2_pair="usdchf",           #  <-  CHF reference currency 2 implied
+                 notional=500e6,               #  <-  Leg1 is based on the reference currency 1
+                 leg2_notional=500e6/125.0,    #  <-  Leg2 entered directly in ref currency 2 units
+                 fx_fixings="WMR_10AM_TY0_T+2",       #  <-  Data series tag for FXFixings on Leg1
+                 leg2_fx_fixings="WMR_10AM_TY0_T+2",  #  <-  Data series tag for FXFixings on Leg2
              )
              ndxcs.cashflows()
 
@@ -376,8 +376,8 @@ class NDXCS(_BaseInstrument):
     .. ipython:: python
        :suppress:
 
-       fixings.pop("USDINR")
-       fixings.pop("USDCHF")
+       fixings.pop("WMR_10AM_TY0_T+2_USDINR")
+       fixings.pop("WMR_10AM_TY0_T+2_USDCHF")
 
     """  # noqa: E501
 

python/rateslib/instruments/xcs.py

@@ -61,21 +61,21 @@ class XCS(_BaseInstrument):
 
     .. ipython:: python
 
-       fixings.add("EURUSD_1600_GMT", Series(index=[dt(2025, 4, 8)], data=[1.175]))
+       fixings.add("WMR_10AM_TY0_T+2_EURUSD", Series(index=[dt(2025, 4, 8)], data=[1.175]))
        xcs = XCS(
            effective=dt(2025, 1, 8),
            termination="6m",
            spec="eurusd_xcs",
            notional=5e6,
-           leg2_fx_fixings=(1.15, "EURUSD_1600_GMT"),
+           leg2_fx_fixings=(1.15, "WMR_10AM_TY0_T+2"),
            leg2_mtm=True,
        )
        xcs.cashflows()
 
     .. ipython:: python
        :suppress:
 
-       fixings.pop("EURUSD_1600_GMT")
+       fixings.pop("WMR_10AM_TY0_T+2_EURUSD")
 
     .. rubric:: Pricing
 

python/rateslib/legs/fixed.py

@@ -308,7 +308,7 @@ class FixedLeg(_BaseLeg, _WithExDiv):
 
           .. ipython:: python
 
-             fixings.add("EURUSD_1700", Series(
+             fixings.add("WMR_10AM_TY0_T+2_EURUSD", Series(
                  index=[dt(2000, 1, 1), dt(2000, 4, 2), dt(2000, 7, 1), dt(2000, 7, 2)],
                  data=[1.26, 1.27, 1.29, 1.295])
              )
@@ -325,8 +325,8 @@ class FixedLeg(_BaseLeg, _WithExDiv):
                  mtm="payment",
                  currency="usd",
                  pair="eurusd",
-                 notional=10e6,                     # <- Leg settles in USD leg but reference cashflows in EUR
-                 fx_fixings=(1.25, "EURUSD_1700"),  # <- Initial exchange rate and future fixings
+                 notional=10e6,                          # <- Leg settles in USD leg but reference cashflows in EUR
+                 fx_fixings=(1.25, "WMR_10AM_TY0_T+2"),  # <- Initial exchange rate and future fixings
              )
              print(leg.cashflows())
 
@@ -345,7 +345,7 @@ class FixedLeg(_BaseLeg, _WithExDiv):
 
           .. ipython:: python
 
-             fixings.add("EURUSD_1600", Series(
+             fixings.add("WMR_4PM_GMT_T+2_EURUSD", Series(
                  index=[dt(2000, 4, 1), dt(2000, 4, 2), dt(2000, 7, 2)],
                  data=[1.265, 1.27, 1.29])
              )
@@ -363,7 +363,7 @@ class FixedLeg(_BaseLeg, _WithExDiv):
                  pair="eurusd",
                  mtm="xcs",
                  notional=10e6,
-                 fx_fixings=(1.25, "EURUSD_1600"),
+                 fx_fixings=(1.25, "WMR_4PM_GMT_T+2"),
              )
              print(leg.cashflows())
 
@@ -420,7 +420,7 @@ class FixedLeg(_BaseLeg, _WithExDiv):
                  pair="eurusd",
                  notional=10e6,                     # <- Leg settles in USD leg but reference cashflows in EUR
                  amortization=4e6,
-                 fx_fixings=(1.25, "EURUSD_1700"),  # <- Initial exchange rate and future fixings
+                 fx_fixings=(1.25, "WMR_10AM_TY0_T+2"),  # <- Initial exchange rate and future fixings
              )
              print(leg.cashflows())
 
@@ -445,7 +445,7 @@ class FixedLeg(_BaseLeg, _WithExDiv):
                  mtm="xcs",
                  notional=10e6,
                  amortization=4e6,
-                 fx_fixings=(1.25, "EURUSD_1600"),
+                 fx_fixings=(1.25, "WMR_4PM_GMT_T+2"),
              )
              print(leg.cashflows())
 
@@ -472,7 +472,7 @@ class FixedLeg(_BaseLeg, _WithExDiv):
            notional=5e6,
            amortization=1000000,
            mtm="xcs",
-           fx_fixings=(1.25, "EURUSD_1600"),
+           fx_fixings=(1.25, "WMR_10AM_TY0_T+2"),
            index_lag=0,
            index_fixings="MY_RPI",
            index_method="monthly",
@@ -482,11 +482,11 @@ class FixedLeg(_BaseLeg, _WithExDiv):
     .. ipython:: python
        :suppress:
 
-       fixings.pop("EURUSD_1600")
-       fixings.pop("EURUSD_1700")
+       fixings.pop("WMR_10AM_TY0_T+2_EURUSD")
+       fixings.pop("WMR_4PM_GMT_T+2_EURUSD")
        fixings.pop("MY_RPI")
 
-    """ # noqa: E501
+    """  # noqa: E501
 
     @property
     def settlement_params(self) -> _SettlementParams: