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Default rolling FX forward strategies

Primer on rolling default FX forward strategies available within the framework.

Introduction

The following default strategies are created using our RollingFXForwardStrategy building block. They handle the rolling of FX forwards, all with a forward tenor of 3M_IMM .
These default strategies can be imported via the following:
from sigtech.framework.default_strategy_objects.rolling_fx_forwards import *
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:
Python
Output
usd_gbp_3m_imm??
@recorded_lru_cache()
def usd_gbp_3m_imm():
"""
Define a rolling FX forward strategy going long ``'GBP'``, short ``'USD'`` and with forward tenor ``'3M_IMM'``.
"""
return RollingFXForwardStrategy(
{'currency': 'USD', 'long_currency': 'GBP', 'start_date': datetime.date(2010, 1, 4), 'forward_tenor': '3M_IMM',
'db_ticker': 'USD GBP LONG 3M_IMM FXRF'})

Default strategy list

Method
Long Currency
Short Currency
usd_aud_3m_imm
AUD
USD
usd_brl_3m_imm
BRL
USD
usd_cad_3m_imm
CAD
USD
usd_chf_3m_imm
CHF
USD
usd_eur_3m_imm
EUR
USD
usd_eur_3m_imm_short
USD
EUR
usd_gbp_3m_imm
GBP
USD
usd_gbp_3m_imm_short
USD
GBP
usd_inr_3m_imm
INR
USD
usd_jpy_3m_imm
JPY
USD
usd_krw_3m_imm
KRW
USD
usd_mxn_3m_imm
MXN
USD
usd_nok_3m_imm
NOK
USD
usd_nzd_3m_imm
NZD
USD
usd_pln_3m_imm
PLN
USD
usd_rub_3m_imm
RUB
USD
usd_sek_3m_imm
SEK
USD
usd_thb_3m_imm
THB
USD
usd_try_3m_imm
TRY
USD
usd_zar_3m_imm
ZAR
USD