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Draft: Fx Forward: use native instrument events for maturity#790

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kitkoeneman wants to merge 2 commits intofinbourne:developfrom
kitkoeneman:feature/fx_forward_instrument_events
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Draft: Fx Forward: use native instrument events for maturity#790
kitkoeneman wants to merge 2 commits intofinbourne:developfrom
kitkoeneman:feature/fx_forward_instrument_events

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@kitkoeneman
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Pull Request Checklist

  • Changes follow the style guide
  • Tests pass
  • Raised the PR against the develop branch
  • Notebook outputs do not contain any priviledged data

Description of the PR

Making two updates to this notebook:

  • 7. Instrument Life Cycle: uses LUSID's new instrument events for the FxForward's maturity. With only this change (0e0d438) all the valuation numbers remain the same, and everything seems to work.
  • Instrument configuration: In the second commit (6006856) the dom and fgn currencies are swapped so that they match the UI's buy/sell labels. After this, we see almost correct numbers, however:
    • Some values are slightly off. Might be rounding, since pips curve data only goes to 4 decimal points. Swapping dom/fgn means LUSID has to invert the existing curve.
    • Final value for EUR should be exactly 1,000,000 but it's not. Leads me to believe there are no rounding issues, and there's more updates required to swap dom/fgn.

TODO (reminder for me after numbers are correct): add URL to UI Valuation dashboard like at the end of Simple Valuation.ipynb.

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@kitkoeneman kitkoeneman changed the title Fx Forward: use native instrument events for maturity Draft: Fx Forward: use native instrument events for maturity Jul 1, 2024
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