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

usd_gbp_3m_imm??

Output

@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