How to get the FX swap points based on Discounting curves and Spot price


#1

Is there an API that can be used as part of Strata-market:
input: USD-Disc curve, GBP-Disc curve, and GBP/USD spot price,
output: Swap points of GBP/USD across all the tenors of discounting curves.

Sorry if this is a silly question, I’m not so familiar with this area. thanks


#2

I’m not certain, but perhaps what you want is:
ratesProvider.fxForwardRates(currencyPair).rate(baseCurrency, paymentDate)

That will use the two curves and spot price, and get the implied rate at the specified date.


#3

Thanks, exactly what I want to know. appreciate you quick response.