Rolling FX forward strategy

Learn more: Example notebooks

Environment

Setting up your environment takes three steps:

• Import the relevant internal and external libraries

• Configure the environment parameters

• Initialise the environment

import sigtech.framework as sig

import datetime as dtm
import seaborn as sns

sns.set(rc={'figure.figsize': (18, 6)})
sig.config.init();

Learn more: Setting up the environment

Creating RollingFXForwardStrategy objects

The RollingFXForwardStrategy object allows for automatic rolling of FX forwards.

An example of building a rolling forward strategy:

def get_fxrf(long_ccy, forward_tenor, direction):
    return sig.RollingFXForwardStrategy(
        currency='USD',
        direction=direction,
        forward_tenor=forward_tenor,  # '2D', '1W', '1M', '3M_IMM'
        long_currency=long_ccy,  # 'EUR', 'CHF', 'GBP', 'JPY'
        start_date=dtm.date(2010, 3, 5),
        # can also set up custom rolling schedule via 
        # custom_roll_dates=[dtm.date(2010, 10, 18), dtm.date(2011, 10, 25)]
    )

Input

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

Output

USD 2636B46A RFXFS STRATEGY <class 'sigtech.framework.strategies.rolling_fx_forward_strategy.RollingFXForwardStrategy'>[4517982800]

Input

st.history().tail()

Output

2021-04-22    839.436923
2021-04-23    845.115986
2021-04-26    844.328467
2021-04-27    844.312474
2021-04-28           NaN
Name: (LastPrice, EOD, USD 2636B46A RFXFS STRATEGY), dtype: float64

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

API documentation

Learn more: API documentation