REG: base argument to FXForwards fails to order currencies (#669)

Co-authored-by: JHM Darbyshire (win11) <[email protected]>

docs/source/i_whatsnew.rst

@@ -85,6 +85,11 @@ objects now have specific methods to allow *updates*.
      - :class:`~rateslib.instruments.STIRFuture` now correctly handles *NPV* when ``fx``
        is provided as an, potentially unused, argument.
        (`653 <https://github.com/attack68/rateslib/pull/653>`_)
+   * - Bug
+     - :class:`~rateslib.fx.FXForwards` corrects a bug which possibly mis-ordered some
+       currencies if a ``base`` argument was given at initialisation, yielding mis-stated FX rates
+       for some pair combinations.
+       (`669 <https://github.com/attack68/rateslib/pull/669>`_)
    * - Bug
      - :meth:`~rateslib.periods.FloatPeriod.rate` now correctly calculates when ``fixings``
        are provided in any of the acceptable formats and contains all data to do so, in the

python/rateslib/fx/fx_forwards.py

@@ -181,6 +181,7 @@ def __init__(
         self._validate_fx_curves(fx_curves)
         self.fx_rates: FXRates | list[FXRates] = fx_rates
         self._calculate_immediate_rates(base, init=True)
+        assert self.currencies_list == self.fx_rates_immediate.currencies_list  # noqa: S101
         self._set_new_state()
 
     def _get_composited_state(self) -> int:
@@ -216,7 +217,7 @@ def _calculate_immediate_rates(self, base: str | NoInput, init: bool) -> None:
             if init:
                 self.currencies = self.fx_rates.currencies
                 self.q = len(self.currencies.keys())
-                self.currencies_list: list[str] = list(self.currencies.keys())
+                self.currencies_list: list[str] = self.fx_rates.currencies_list
                 self.transform = self._get_forwards_transformation_matrix(
                     self.q,
                     self.currencies,
@@ -241,7 +242,7 @@ def _calculate_immediate_rates(self, base: str | NoInput, init: bool) -> None:
                 pair: self.fx_rates[0].settlement for pair in self.fx_rates[0].pairs
             }
 
-            # Now itertate through the remaining FXRates objects and patch them into the fxf
+            # Now iterate through the remaining FXRates objects and patch them into the fxf
             for fx_rates_obj in self.fx_rates[1:]:
                 # create sub FXForwards for each FXRates instance and re-combine.
                 # This reuses the arg validation of a single FXRates object and
@@ -327,7 +328,7 @@ def _calculate_immediate_rates_same_settlement_frame(self) -> FXRates:
                 pair = f"{cash_ccy}{coll_ccy}"
                 fx_rates_immediate.update({pair: self.fx_rates.fx_array[row, col] * v_i / w_i})
 
-        fx_rates_immediate_ = FXRates(fx_rates_immediate, self.immediate, self.base)
+        fx_rates_immediate_ = FXRates(fx_rates_immediate, self.immediate, self.currencies_list[0])
         return fx_rates_immediate_.restate(self.fx_rates.pairs, keep_ad=True)
 
     def __repr__(self) -> str:

python/rateslib/fx/fx_rates.py

@@ -286,7 +286,7 @@ def restate(self, pairs: list[str], keep_ad: bool = False) -> FXRates:
            fxr2 = fxr.restate({"eurusd", "gbpusd"})
            fxr2.rates_table()
         """
-        if set(pairs) == set(self.pairs) and keep_ad:
+        if pairs == self.pairs and keep_ad:
             return self.__copy__()  # no restate needed but return new instance
 
         restated_fx_rates = FXRates(

python/tests/test_fx.py

@@ -1,4 +1,5 @@
 from datetime import datetime as dt
+from random import choice, shuffle
 
 import numpy as np
 import pytest
@@ -278,6 +279,18 @@ def usdeur():
     return Curve(nodes=nodes, interpolation="log_linear")
 
 
+@pytest.fixture
+def cadcad():
+    nodes = {dt(2022, 1, 1): 1.00, dt(2022, 4, 1): 0.987}
+    return Curve(nodes=nodes, interpolation="log_linear")
+
+
+@pytest.fixture
+def cadcol():
+    nodes = {dt(2022, 1, 1): 1.00, dt(2022, 4, 1): 0.984}
+    return Curve(nodes=nodes, interpolation="log_linear")
+
+
 def test_fxforwards_repr(usdusd, eureur, usdeur) -> None:
     fxf = FXForwards(
         FXRates({"usdeur": 2.0}, settlement=dt(2022, 1, 3)),
@@ -679,6 +692,98 @@ def test_forwards_codependent_curve_raise(usdusd) -> None:
         )
 
 
+class TestFXForwardsBase:
+    # these tests will validate the base argument supplied to the FXForwards object
+    # in different framework type constructions
+
+    def test_single_system(self, usdusd, eureur):
+        # test that creating 2 currencies setting base as either yields the same FX rates.
+        fxr = FXRates({"eurusd": 200.0}, settlement=dt(2022, 1, 3))
+        fxf1 = FXForwards(fxr, {"eureur": eureur, "eurusd": eureur, "usdusd": usdusd}, base="usd")
+        fxf2 = FXForwards(fxr, {"eureur": eureur, "eurusd": eureur, "usdusd": usdusd}, base="eur")
+        res1 = fxf1.rate("eurusd", dt(2022, 3, 1))
+        res2 = fxf2.rate("eurusd", dt(2022, 3, 1))
+        assert res1 == res2
+
+    @pytest.mark.parametrize("base", ["usd", "eur", "cad", NoInput(0)])
+    @pytest.mark.parametrize("idx", [0, 1])
+    def test_multi_currency_system(self, base, idx, usdusd, eureur, cadcad, cadcol, usdeur):
+        ccys = ["usd", "eur", "cad"]
+        shuffle(ccys)
+        pairs = [f"{ccys[0]}{ccys[1]}", f"{ccys[idx]}{ccys[2]}"]
+        fxr = FXRates(dict(zip(pairs, [5.0, 15.0])), base=base, settlement=dt(2022, 1, 3))
+
+        shuffle(ccys)
+        curv_pairs = [f"{ccys[0]}{ccys[1]}", f"{ccys[idx]}{ccys[2]}"]
+        fxc = {
+            "eureur": eureur,
+            "cadcad": cadcad,
+            "usdusd": usdusd,
+            **dict(zip(curv_pairs, [cadcol, usdeur])),
+        }
+        fxf1 = FXForwards(fxr, fxc, base="usd")
+        fxf2 = FXForwards(fxr, fxc, base="eur")
+        fxf3 = FXForwards(fxr, fxc, base="cad")
+        fxf4 = FXForwards(fxr, fxc, base=NoInput(0))
+
+        shuffle(ccys)
+        r1 = fxf1.rate(f"{ccys[0]}{ccys[1]}", dt(2022, 2, 27))
+        r2 = fxf2.rate(f"{ccys[0]}{ccys[1]}", dt(2022, 2, 27))
+        r3 = fxf3.rate(f"{ccys[0]}{ccys[1]}", dt(2022, 2, 27))
+        r4 = fxf4.rate(f"{ccys[0]}{ccys[1]}", dt(2022, 2, 27))
+
+        assert r1 == r2
+        assert r1 == r3
+        assert r1 == r4
+
+    @pytest.mark.parametrize("base1", [NoInput(0), "usd", "cad"])
+    @pytest.mark.parametrize("base2", [NoInput(0), "eur", "usd"])
+    @pytest.mark.parametrize("pair1", ["cadusd", "usdcad"])
+    @pytest.mark.parametrize("pair2", ["usdeur", "eurusd"])
+    def test_separable_system(
+        self, usdusd, eureur, usdeur, cadcad, cadcol, base1, base2, pair1, pair2
+    ):
+        fxr1 = FXRates({pair1: 1.25}, settlement=dt(2022, 1, 3), base=base1)
+        fxr2 = FXRates({pair2: 2.0}, settlement=dt(2022, 1, 2), base=base2)
+
+        curves = {
+            "usdusd": usdusd,
+            "eureur": eureur,
+            "cadcad": cadcad,
+            "cadusd": cadcol,
+            "usdeur": usdeur,
+        }
+        fxf1 = FXForwards([fxr2, fxr1], curves, base="usd")
+        fxf2 = FXForwards([fxr2, fxr1], curves, base="eur")
+        fxf3 = FXForwards([fxr2, fxr1], curves, base="cad")
+
+        for pair in ["usdcad", "cadeur", "eurusd"]:
+            assert fxf1.rate(pair, dt(2022, 3, 20)) == fxf2.rate(pair, dt(2022, 3, 20))
+            assert fxf1.rate(pair, dt(2022, 3, 20)) == fxf3.rate(pair, dt(2022, 3, 20))
+
+    def test_dependent_acyclic_system(self, usdusd, eureur, usdeur, cadcad, cadcol):
+        pair = choice(["usdcad", "cadusd"])
+        pair2 = choice(["eurusd", "usdeur"])
+
+        fxr1 = FXRates({pair2: 1.25}, settlement=dt(2022, 1, 3))
+        fxr2 = FXRates({pair: 2.0}, settlement=dt(2022, 1, 2))
+
+        curves = {
+            "usdusd": usdusd,
+            "eureur": eureur,
+            "cadcad": cadcad,
+            "cadeur": cadcol,
+            "usdeur": usdeur,
+        }
+        fxf1 = FXForwards([fxr1, fxr2], curves, base="usd")
+        fxf2 = FXForwards([fxr1, fxr2], curves, base="eur")
+        fxf3 = FXForwards([fxr1, fxr2], curves, base="cad")
+
+        for pair in ["usdcad", "cadeur", "eurusd"]:
+            assert fxf1.rate(pair, dt(2022, 3, 20)) == fxf2.rate(pair, dt(2022, 3, 20))
+            assert fxf1.rate(pair, dt(2022, 3, 20)) == fxf3.rate(pair, dt(2022, 3, 20))
+
+
 def test_multiple_settlement_forwards() -> None:
     fxr1 = FXRates({"usdeur": 0.95}, dt(2022, 1, 3))
     fxr2 = FXRates({"usdcad": 1.1}, dt(2022, 1, 2))