Default rolling FX forward strategies

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