ENH: add non-deliverable forward

python/rateslib/default.py

@@ -159,6 +159,7 @@ def __init__(self) -> None:
             "Bill": 0,
             "FRA": 0,
             "CDS": 0,
+            "NDF": 2,
         }
         self.fixing_method = "rfr_payment_delay"
         self.fixing_method_param = {

python/rateslib/instruments/rates/multi_currency.py

@@ -270,7 +270,40 @@ def analytic_delta(self, *args: Any, **kwargs: Any) -> DualTypes:
         raise NotImplementedError("`analytic_delta` for FXExchange not defined.")
 
 
-class NDF(Sensitivities, BaseMixin):
+class NDF(Sensitivities):
+    """
+    Create a non-deliverable forward (NDF).
+
+    Parameters
+    ----------
+    pair: str
+        The FX pair against which settlement takes place (2 x 3-digit code).
+    settlement: datetime or str
+        The date on which settlement will occur. String tenors are allowed, e.g. "3M".
+    notional: float, Variable
+        The notional amount expressed in units of currency 1 of ``pair``.
+    fx_rate: float, Variable, optional
+        The agreed price on the NDF contact. May be omitted for unpriced contracts.
+    fx_fixing: float, Variable, optional
+        The rate against which settlement takes place. Will be forecast if not given or not known.
+    eval_date: datetime, optional
+        Required only if ``settlement`` is given as string tenor.
+    calendar: str or Calendar, optional
+        Determines settlement if given as string tenor and fixing date from settlement.
+    modifier: str, optional
+        Date modifier for determining string tenor.
+    currency: str, optional
+        The settlement currency of the contract. If not given is assumed to be currency 2 of the
+        ``pair``, e.g. USD in BRLUSD. Must be one of the currencies in ``pair``.
+    payment_lag: int, optional
+        Determines the FX rate fixing date from the settlement. Defaults to 2 (spot) if not given.
+    curves : Curve, str or list of such, optional
+        Only one curve is required for an *NDF*. This curve should discount cashflows in the
+        given ``currency`` at a known collateral rate.
+    spec : str, optional
+        An identifier to pre-populate many fields with conventional values. See
+        :ref:`here<defaults-doc>` for more info and available values.
+    """
 
     def __init__(
         self,
@@ -282,11 +315,14 @@ def __init__(
         eval_date: datetime_ = NoInput(0),
         calendar: CalInput = NoInput(0),
         modifier: str_ = NoInput(0),
-        spec: str_ = NoInput(0),
+        currency: str_ = NoInput(0),
+        payment_lag: int_ = NoInput(0),
         curves: Curves_ = NoInput(0),
+        spec: str_ = NoInput(0),
     ):
         self.kwargs: dict[str, Any] = dict(
-            pair=pair,
+            pair=pair.lower(),
+            currency=_drb(pair[3:], currency).lower(),
             notional=notional,
             fx_rate=fx_rate,
             settlement=settlement,
@@ -302,6 +338,7 @@ def __init__(
             "modifier": defaults.modifier,
             "notional": defaults.notional,
             "calendar": get_calendar(self.kwargs["calendar"]),
+            "payment_lag": defaults.payment_lag_specific[type(self).__name__],
         }
         self.kwargs = _update_with_defaults(self.kwargs, default_kws)
 
@@ -319,20 +356,35 @@ def __init__(
                     mod_days=False
                 )
 
+        if not self.kwargs["currency"] in self.kwargs["pair"]:
+            raise ValueError("`currency` must be one of the currencies in `pair`.")
+
         self.periods = [
             NonDeliverableCashflow(
                 notional=self.kwargs["notional"],
-                reference_currency=self.kwargs["reference_currency"],
-                settlement_currency=self.kwargs["settlement_currency"],
+                reference_currency=self.kwargs["pair"][0:3] if self.kwargs["pair"][0:3] != currency else self.kwargs["pair"][3:],
+                settlement_currency=self.kwargs["currency"],
                 settlement=self.kwargs["settlement"],
-                fixing_date=,
-                fx_rate: DualTypes_ = NoInput(0),
-                fx_fixing: DualTypes_ = NoInput(0),
+                fixing_date=self.kwargs["calendar"].lag(self.kwargs["settlement"], -self.kwargs["payment_lag"], False), # a fixing date can be on a non-settlable date
+                fx_rate=self.kwargs["fx_rate"],
+                fx_fixing=self.kwargs["fx_fixing"],
+                reversed=self.kwargs["pair"][0:3] == self.kwargs["currency"]
             )
         ]
         self.curves=curves
         self.spec=spec
 
+    def _set_pricing_mid(
+            self,
+            curves: Curves_ = NoInput(0),
+            solver: Solver_ = NoInput(0),
+            fx: FX_ = NoInput(0),
+    ) -> None:
+        if isinstance(self.fx_rate, NoInput):
+            mid_market_rate = self.rate(curves, solver, fx)
+            self.fx_rate = _dual_float(mid_market_rate)
+            self._fx_rate = NoInput(0)
+
     def rate(
         self,
         curves: Curves_ = NoInput(0),
@@ -348,22 +400,54 @@ def rate(
             base,
             self.leg1.currency,
         )
-        curves_1 = _validate_curve_not_no_input(curves_[1])
-        curves_3 = _validate_curve_not_no_input(curves_[3])
+        return self.periods[0].rate(fx_)
 
-        if isinstance(fx_, FXRates | FXForwards):
-            imm_fx: DualTypes = fx_.rate(self.pair)
-        elif isinstance(fx_, NoInput):
-            raise ValueError(
-                "`fx` must be supplied to price FXExchange object.\n"
-                "Note: it can be attached to and then gotten from a Solver.",
-            )
-        else:
-            imm_fx = fx_
+    def cashflows(
+        self,
+        curves: Curves_ = NoInput(0),
+        solver: Solver_ = NoInput(0),
+        fx: FX_ = NoInput(0),
+        base: str_ = NoInput(0),
+    ) -> DataFrame:
+        """
+        Return the cashflows of the *FXExchange* by aggregating legs.
 
-        _: DualTypes = forward_fx(self.settlement, curves_1, curves_3, imm_fx)
+        For arguments see :meth:`BaseMixin.npv<rateslib.instruments.BaseMixin.cashflows>`
+        """
+        self._set_pricing_mid(curves, solver, fx)
+        curves_, fx_, base_ = _get_curves_fx_and_base_maybe_from_solver(
+            self.curves,
+            solver,
+            curves,
+            fx,
+            base,
+            NoInput(0),
+        )
+        seq = [
+            self.periods[0].cashflows(curves_[0], curves_[1], fx_, base_),
+        ]
+        _: DataFrame = DataFrame.from_records(seq)
+        _.index = MultiIndex.from_tuples([("leg1", 0)])
         return _
 
+    def npv(
+        self,
+        curves: Curves_ = NoInput(0),
+        solver: Solver_ = NoInput(0),
+        fx: FX_ = NoInput(0),
+        base: str_ = NoInput(0),
+        local: bool = False,
+    ):
+        curves_, fx_, base_ = _get_curves_fx_and_base_maybe_from_solver(
+            self.curves,
+            solver,
+            curves,
+            fx,
+            base,
+            self.kwargs["currency"],
+        )
+        return self.periods[0].npv(NoInput(0), curves_[1], fx_, base_, local)
+
     def delta(self, *args: Any, **kwargs: Any) -> DataFrame:
         """
         Calculate the delta of the *Instrument*.
@@ -381,7 +465,7 @@ def gamma(self, *args: Any, **kwargs: Any) -> DataFrame:
         return super().gamma(*args, **kwargs)
 
     def analytic_delta(self, *args: Any, **kwargs: Any) -> DualTypes:
-        raise NotImplementedError("`analytic_delta` for NDF not defined.")
+        return 0.0
 
 
 class XCS(BaseDerivative):