derivitec.core.client.DerivitecClient.get_fx_crosses

DerivitecClient.get_fx_crosses(fx_pairs, market_dates, descriptors)[source]

Get FX crosses.

Parameters:

  • fx_pairs (list of str) – The FX pairs.

  • market_dates (list of datetime.) – The market dates.

  • descriptors (dict) – The descriptors {str : FxDescriptor}

Return type:

list of derivitec.market_data.types.FxCross

Code

>>> desc = FxCrossDescriptor()
>>> desc.FixingStartDate = desc.HighLowFixingStartDate = datetime(2017, 1, 1)
>>> desc.FixingEndDate = desc.HighLowFixingEndDate = datetime(2017, 5, 31)
>>> descs = {"GBPUSD":desc}
>>> date_list = [datetime(2017, 1, 10), datetime(2017, 1, 11)]
>>> client.get_fx_crosses(["GBPUSD"], date_list, descs)