FX Conversion¶

The calculator supports multi-currency portfolios by converting all monetary values to a base currency (GBP by default) before performing calculations.

Why FX Conversion Matters¶

Regulatory thresholds (SME turnover, retail exposure limits) are defined in EUR or GBP. Without consistent currency conversion, exposures in foreign currencies would be incorrectly assessed against these thresholds.

What Gets Converted¶

Configuration¶

FX conversion is controlled via CalculationConfig:

from rwa_calc.contracts.config import CalculationConfig
from datetime import date

# FX conversion enabled by default (base_currency is always GBP)
config = CalculationConfig.crr(
    reporting_date=date(2026, 12, 31),
    apply_fx_conversion=True,      # Enable/disable
)

Input Data¶

FX rates are provided via the fx_rates input table:

Example FX Rates¶

fx_rates = pl.DataFrame({
    "currency_from": ["USD", "EUR", "CHF"],
    "currency_to": ["GBP", "GBP", "GBP"],
    "rate": [0.79, 0.87, 0.89],
})

Pipeline Integration¶

FX conversion occurs early in the pipeline, during hierarchy resolution, so that all downstream calculations (threshold checks, collateral haircuts, RWA) use consistent GBP values.

flowchart TD
    A[Raw Data - Mixed Currencies] --> B[FX Conversion]
    B --> C[Hierarchy Resolution]
    C --> D[Classification - GBP thresholds]
    D --> E[CRM - GBP haircuts]
    E --> F[Calculators - GBP RWA]

Audit Trail¶

The converter preserves original values for audit:

Missing FX Rates¶

If a currency's FX rate is not provided: - Values are left unchanged (not converted) - fx_rate_applied is set to null - No error is raised (graceful handling)

Regulatory Thresholds¶

Key thresholds that depend on correct FX conversion:

The EUR-to-GBP rate is configurable and defaults to 0.8732.