Cftc Fx Forward Curve

---

Implementation details

Class names

Model name	Parameters class	Data class
CftcFxForwardCurve	CftcFxForwardCurveQueryParams	CftcFxForwardCurveData

Import Statement

from openbb_core.provider.standard_models. import (
CftcFxForwardCurveData,
CftcFxForwardCurveQueryParams,
)

Parameters

• standard
• cftc

pair: str | None
Default: USDJPY
Currency pair. The curve is quoted as the foreign currency per one US dollar whichever way the pair is named. The USD/EM pairs (USDKRW, USDINR, ...) are non-deliverable forwards.

source: str | None
Default: search
Where the trades come from. 'search' queries a window of dissemination days and prices each tenor from the most recent day it traded in depth; 'slice' uses a single day's cumulative file, which leaves thin tenors missing.

date: date | None
Dissemination date (UTC). With source='search' this ends the lookback window, defaulting to today. With source='slice' it selects the most recent day on or before it that priced this pair. History is retained for 366 days.

lookback_days: int | None
Default: 30
Number of dissemination days to search back over, ending on date. Only used when source='search'. A longer window fills in more tenors, at the cost of pricing the thin ones further from today; check staleness_days.

min_notional: float | None
Default: 1000000.0
Minimum trade notional, in the base currency. Set to 0 to keep every trade.

min_trades: int | None
Default: 1
Drop tenors priced by fewer than this many trades.

use_cache: bool | None
Default: True
Cache the source data locally, revalidating against the source ETag.

Data

• standard
• cftc

date: date | str
Date of the curve.

pair: str
Currency pair the curve is built for.

index: str
Settlement tenor of the node - the row and chart index.

tenor_days: int
Lower bound of the tenor bucket, in days.

rate: float
Outright forward rate, in units of the foreign currency per US dollar.

spot: float
Spot rate of the tenor's as-of date, per US dollar.

num_trades: int
Number of executed trades aggregated into the tenor.

total_notional: float | None
Sum of the base currency notional of the tenor's trades.

min_rate: float | None
Lowest executed rate at the node, per US dollar.

max_rate: float | None
Highest executed rate at the node, per US dollar.

as_of_date: date | None
Dissemination date the tenor's trades were reported on.

staleness_days: int | None
Days between the tenor's as-of date and the curve's date.