Rolling FX forward strategy

Initialize SigTech

Import Python libraries:

import datetime as dtm
import numpy as np
import pandas as pd

import sigtech.framework as sig

Initialize the SigTech framework environment:

env = sig.init()

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Configure the SigTech framework environment

Create a rolling FX forward strategy

Use the sig.RollingFXForwardStrategy class to create a rolling FX forward strategy object.

Define a helper function, get_fxrf, that creates rolling FX forward strategies:

def get_fxrf(long_ccy, forward_tenor, direction):
    return sig.RollingFXForwardStrategy(
        start_date=dtm.date(2023, 1, 1),
        end_date=dtm.date(2024, 1, 1),
        currency="USD",
        direction=direction,
        forward_tenor=forward_tenor,
        long_currency=long_ccy,
    )

Create an example rolling FX forward strategy:

st = get_fxrf('EUR', '3M_IMM', 'long')
st

View price data:

st.history().tail()

Plot the price data:

st.history().plot(title='Rolling FX Forward Performance');

API documentation

Learn more: API documentation