FX & Currency

SyntheticData generates realistic foreign exchange rates, currency translation entries, and cumulative translation adjustments (CTA) for multi-currency enterprise simulation.

Overview

The FX module in datasynth-generators provides three generators:

Configuration

fx:
  enabled: true
  base_currency: USD                    # Reporting/functional currency
  currencies:
    - code: EUR
      initial_rate: 1.10
      volatility: 0.08
      mean_reversion: 0.05
    - code: GBP
      initial_rate: 1.27
      volatility: 0.07
      mean_reversion: 0.04
    - code: JPY
      initial_rate: 0.0067
      volatility: 0.10
      mean_reversion: 0.06
    - code: CHF
      initial_rate: 1.12
      volatility: 0.06
      mean_reversion: 0.03

  translation:
    method: current_rate                # current_rate, temporal, monetary_non_monetary
    equity_at_historical: true
    income_at_average: true

  cta:
    enabled: true
    equity_account: "3900"              # CTA equity account

FX Rate Service

Ornstein-Uhlenbeck Process

Exchange rates are generated using a mean-reverting stochastic process (Ornstein-Uhlenbeck), which models the tendency of exchange rates to revert toward a long-term equilibrium:

dX(t) = θ(μ - X(t))dt + σdW(t)

where:
  X(t)  = log exchange rate at time t
  θ     = mean reversion speed (mean_reversion config)
  μ     = long-term mean (derived from initial_rate)
  σ     = volatility
  dW(t) = Wiener process (random walk)

This produces rates that:

• Mean-revert: Rates drift back toward the initial level over time
• Have realistic volatility: Day-to-day movements match configurable volatility targets
• Are serially correlated: Today’s rate depends on yesterday’s rate (not i.i.d.)
• Are deterministic: Given the same seed, rates are exactly reproducible

Rate Types

Output: daily_rates.csv

Output: period_rates.csv

Currency Translation

Translation Methods

SyntheticData supports three standard currency translation methods:

Current Rate Method (ASC 830 / IAS 21 — default)

The most common method for foreign subsidiaries with functional currency different from reporting currency:

Temporal Method (ASC 830)

Used when the foreign operation’s functional currency is the parent’s currency (e.g., highly inflationary economies):

Monetary/Non-Monetary Method

Translation Configuration

fx:
  translation:
    method: current_rate      # current_rate | temporal | monetary_non_monetary
    equity_at_historical: true
    income_at_average: true

CTA Generator

The Cumulative Translation Adjustment arises because assets/liabilities are translated at closing rates while equity is at historical rates. The CTA is posted to Other Comprehensive Income (OCI) in equity:

CTA = Translated Net Assets (at closing rate)
    - Translated Equity (at historical rates)
    - Translated Net Income (at average rate)

CTA Journal Entry

The CTA accumulates over time and is only recycled to the income statement when a foreign subsidiary is disposed of.

Configuration

fx:
  cta:
    enabled: true
    equity_account: "3900"    # OCI - CTA account

Multi-Currency Company Configuration

Multi-currency scenarios require companies with different functional currencies:

companies:
  - code: C001
    name: "US Parent Corp"
    currency: USD
    country: US

  - code: C002
    name: "European Subsidiary"
    currency: EUR
    country: DE

  - code: C003
    name: "UK Subsidiary"
    currency: GBP
    country: GB

  - code: C004
    name: "Japan Subsidiary"
    currency: JPY
    country: JP

fx:
  enabled: true
  base_currency: USD
  currencies:
    - { code: EUR, initial_rate: 1.10, volatility: 0.08, mean_reversion: 0.05 }
    - { code: GBP, initial_rate: 1.27, volatility: 0.07, mean_reversion: 0.04 }
    - { code: JPY, initial_rate: 0.0067, volatility: 0.10, mean_reversion: 0.06 }

intercompany:
  enabled: true
  # IC transactions generate FX exposure

Output Files

See Also

• Financial Settings — Intercompany and consolidation config
• Intercompany Processing — IC matching and elimination
• Subledgers — Multi-currency subledger records
• Period Close Engine — Month-end FX revaluation