In this special episode of The Trading Floor, Luigi Pascal Rondanini walks through the Python toolkit that accompanies FX Cash Products — the first volume in the Foreign Exchange Markets Professional Series.
This is not a beginner Python tutorial. It is a practitioner's guide to a professional-grade analytics package built to price, value, and test real FX cash products with the correct conventions, day count logic, and settlement mechanics that institutional work demands.
Luigi covers the full toolkit architecture across four pricing modules — spot, forwards, FX swaps, and non-deliverable forwards — plus valuation, portfolio aggregation, and hedge accounting effectiveness testing under IFRS 9 and ASC 815.
Topics covered in this episode:
— ForwardPricer: covered interest parity with basis adjustment, EUR/USD worked example, day count fractions, discount factors, and forward points output.
— FXSwapPricer: near leg and far leg mechanics, swap points, implied funding yield, spot-forward and forward-forward structures.
— NDFPricer: NDF rate calculation, settlement formula, USD/CNY worked example with contracted rate, fixing, and cash settlement output.
— MTMCalculator and PortfolioAggregator: marking positions to market, net exposure by currency, maturity profile, and total portfolio notional.
— EffectivenessTester: dollar offset testing, regression-based testing, and hypothetical derivative testing for hedge accounting compliance.
— Market data integration: Bloomberg, Refinitiv/Eikon, Yahoo Finance, and manual input — with the fx-toolkit provider-status command to check your environment.
The toolkit is available with the standalone toolkit purchase or the book plus toolkit bundle from rondanini.com. It is not included with book-only purchases.
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FX Cash Products is co-authored by Luigi Pascal Rondanini and David Axtell. Published by Rondanini Publishing Ltd. Available through all major marketplaces and directly from rondanini.com.
