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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,

MathWorks-Excellence-in-Innovation

Capstone and senior design projects for undergraduate and graduate students to gain practical experience and insight into technology trends and industry directions.

  • Updated Aug 25, 2021
  • MATLAB
nnhimes
nnhimes commented Sep 5, 2021

Found bug on beta while testing unrelated changes. Line 509 in assignment_controller.rb was causing a crash when validate_assignment_questionnaires_weights() in assignment_form.rb found that weights did not add to 0 or 100.

In #2034 I made a patch for it to prevent the crash but the flash message is not as descriptive as it should be. Assignment_form.rb wants the error message to be '"Failed t

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