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:

usd_gbp_3m_imm??

Default strategy list

MethodLong CurrencyShort 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

Last updated

© 2023 SIG Technologies Limited