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Default rolling FX forward strategies
Primer on rolling default FX forward strategies available within the framework.
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'})
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 |
Last modified 1yr ago