Default rolling swap strategies (FX hedged)
Primer on default rolling FX hedged swap strategies available within the framework.
Introduction
The following default strategies are created using our RollingSwapStrategy
building block, but with an FX hedging overlay. The swap goes short USD with an exposure rebalance threshold of 0.02, hedge rebalance threshold of 0.02 and hedging tenor of '1M'.
These default strategies can be imported via the following:
The easiest way to see which parameters are used is to look at the source code of any given default strategy. An example is shown below:
Default strategies list
Method | Forward Start (Months) | Tenor (Years) |
usd_aud_2y | 3 | 2 |
usd_aud_5y | 3 | 5 |
usd_aud_10y | 6 | 10 |
usd_cad_2y | 3 | 2 |
usd_cad_5y | 3 | 5 |
usd_cad_10y | 6 | 20 |
usd_cad_30y | 6 | 30 |
usd_eur_2y | 3 | 2 |
usd_eur_5y | 3 | 5 |
usd_eur_10y | 6 | 10 |
usd_eur_30y | 6 | 30 |
usd_gbp_2y | 3 | 2 |
usd_gbp_5y | 3 | 5 |
usd_gbp_10y | 6 | 10 |
usd_gbp_30y | 6 | 30 |
usd_jpy_2y | 3 | 2 |
usd_jpy_5y | 3 | 5 |
usd_jpy_10y | 6 | 10 |
usd_jpy_30y | 6 | 30 |
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