Currencies Module¶

Currency Framework¶

Currency¶

class pyquantlib.Currency¶

Bases: pybind11_object

Currency specification.

__init__() → None¶: Default constructor, creates an empty currency.

code() → str¶: Returns the ISO 4217 three-letter code, e.g., ‘USD’.

empty() → bool¶: Returns true if this is an empty (uninitialized) currency.

fractionSymbol() → str¶: Returns the fraction symbol, e.g., ‘c’ for cents.

fractionsPerUnit() → int¶: Returns the number of fractional units per currency unit, e.g., 100.

name() → str¶: Returns the full currency name, e.g., ‘U.S. Dollar’.

numericCode() → int¶: Returns the ISO 4217 numeric code, e.g., 840.

rounding() → Rounding¶: Returns the rounding convention for this currency.

symbol() → str¶: Returns the currency symbol, e.g., ‘$’.

triangulationCurrency() → Currency¶: Returns the triangulation currency, if any.

usd = ql.USDCurrency()
print(usd.name())   # "U.S. dollar"
print(usd.code())   # "USD"
print(usd.symbol()) # "$"

Available Currencies¶

Region	Currencies
Americas	USD, CAD, MXN, BRL, ARS, CLP, COP, PEN
Europe	EUR, GBP, CHF, SEK, NOK, DKK, PLN, CZK, HUF, RON
Asia-Pacific	JPY, CNY, CNH, HKD, SGD, AUD, NZD, KRW, TWD, INR, THB, MYR, IDR, PHP
Middle East/Africa	AED, SAR, ILS, ZAR, EGP, KES, NGN
Crypto	BTC, ETH, LTC, XRP, DASH, ZEC

Money¶

class pyquantlib.Money¶

Bases: pybind11_object

Amount of cash in a specific currency.

class ConversionType¶

Bases: pybind11_object

Conversion type for money arithmetic.

Members:

NoConversion : Do not perform conversions.

BaseCurrencyConversion : Convert both operands to base currency.

AutomatedConversion : Return result in the currency of the first operand.

__init__(value: SupportsInt | SupportsIndex) → None¶

AutomatedConversion = <ConversionType.AutomatedConversion: 2>¶

BaseCurrencyConversion = <ConversionType.BaseCurrencyConversion: 1>¶

NoConversion = <ConversionType.NoConversion: 0>¶

Money.ConversionType.name -> str

property value¶

class Settings¶

Bases: pybind11_object

Per-session settings for Money arithmetic.

static instance() → Money.Settings¶: Returns the singleton instance.

__init__(*args, **kwargs)¶

property baseCurrency¶: The base currency used for conversions.

property conversionType¶: The conversion type used for money arithmetic.

__init__(*args, **kwargs)¶

Overloaded function.

__init__() -> None

Default constructor.

__init__(currency: Currency, value: SupportsFloat | SupportsIndex) -> None

Constructs from currency and value.

__init__(value: SupportsFloat | SupportsIndex, currency: Currency) -> None

Constructs from value and currency.

currency() → Currency¶: Returns the currency.

rounded() → Money¶: Returns the amount rounded according to the currency.

value() → float¶: Returns the amount.

AutomatedConversion = <ConversionType.AutomatedConversion: 2>¶

BaseCurrencyConversion = <ConversionType.BaseCurrencyConversion: 1>¶

NoConversion = <ConversionType.NoConversion: 0>¶

usd_amount = ql.Money(100.0, ql.USDCurrency())
print(usd_amount.value())
print(usd_amount.currency())

ExchangeRate¶

class pyquantlib.ExchangeRate¶

Bases: pybind11_object

Exchange rate between two currencies.

class Type¶

Bases: pybind11_object

Type of exchange rate.

Members:

Direct : Directly quoted rate.

Derived : Rate derived from other rates.

__init__(value: SupportsInt | SupportsIndex) → None¶

Derived = <Type.Derived: 1>¶

Direct = <Type.Direct: 0>¶

ExchangeRate.Type.name -> str

property value¶

static chain(r1: ExchangeRate, r2: ExchangeRate) → ExchangeRate¶: Creates a derived rate by chaining two rates.

__init__(source: Currency, target: Currency, rate: SupportsFloat | SupportsIndex) → None¶: Constructs an exchange rate from source to target currency.

rate() → float¶: Returns the exchange rate value.

source() → Currency¶: Returns the source currency.

target() → Currency¶: Returns the target currency.

type() → ExchangeRate.Type¶: Returns the type of the exchange rate.

Derived = <Type.Derived: 1>¶

Direct = <Type.Direct: 0>¶

rate = ql.ExchangeRate(ql.EURCurrency(), ql.USDCurrency(), 1.10)
usd_amount = rate.exchange(eur_amount)

ExchangeRateManager¶

class pyquantlib.ExchangeRateManager¶

Bases: pybind11_object

Global repository for exchange rates.

static instance() → ExchangeRateManager¶: Returns the singleton instance.

__init__(*args, **kwargs)¶

add(rate: ExchangeRate, startDate: Date = <Date: January 1st, 1901>, endDate: Date = <Date: December 31st, 2199>) → None¶: Adds an exchange rate.

clear() → None¶: Clears all stored exchange rates.

lookup(source: Currency, target: Currency, date: Date = <Date: null date>, type: ExchangeRate.Type = <Type.Derived: 1>) → ExchangeRate¶: Looks up an exchange rate between two currencies.

Currency Implementations¶

USDCurrency¶

class pyquantlib.USDCurrency¶

Bases: Currency

! The ISO three-letter code is USD; the numeric code is 840. It is divided in 100 cents.

ingroup currencies

__init__() → None¶

EURCurrency¶

class pyquantlib.EURCurrency¶

Bases: Currency

! The ISO three-letter code is EUR; the numeric code is 978. It is divided into 100 cents.

ingroup currencies

__init__() → None¶

GBPCurrency¶

class pyquantlib.GBPCurrency¶

Bases: Currency

! The ISO three-letter code is GBP; the numeric code is 826. It is divided into 100 pence.

ingroup currencies

__init__() → None¶

JPYCurrency¶

class pyquantlib.JPYCurrency¶

Bases: Currency

! The ISO three-letter code is JPY; the numeric code is 392. It is divided into 100 sen.

ingroup currencies

__init__() → None¶

CHFCurrency¶

class pyquantlib.CHFCurrency¶

Bases: Currency

! The ISO three-letter code is CHF; the numeric code is 756. It is divided into 100 cents.

ingroup currencies

__init__() → None¶