Default rolling swap strategies (FX hedged)

Introduction

The following default strategies are created using our RollingSwapStrategy building block, but with an FX hedging overlay. The swap goes short USD with an exposure rebalance threshold of 0.02, hedge rebalance threshold of 0.02 and hedging tenor of ‘1M’.

These default strategies can be imported via the following:

from sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged 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_aud_2y??

Output:

@recorded_lru_cache()
def usd_aud_2y():
    """
    Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in ``'AUD'``
    with tenor ``'2Y'``.
    The swap goes short ``'USD'`` with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and
    hedging tenor ``'1M'``.
    """
    underlying = aud_2y()
    st = FXForwardHedgingStrategy({'strategy_name': underlying.name,
                                   'currency': 'USD',
                                   'start_date': underlying.start_date,
                                   'exposure_rebalance_threshold': 0.02,
                                   'hedge_rebalance_threshold': 0.02,
                                   'hedging_tenor': '1M',
                                   'db_ticker': 'USD AUD 2Y'})
    return st

Default strategies list

Method	Forward Start (Months)	Tenor (Years)
usd_aud_2y	3	2
usd_aud_5y	3	5
usd_aud_10y	6	10
usd_cad_2y	3	2
usd_cad_5y	3	5
usd_cad_10y	6	20
usd_cad_30y	6	30
usd_eur_2y	3	2
usd_eur_5y	3	5
usd_eur_10y	6	10
usd_eur_30y	6	30
usd_gbp_2y	3	2
usd_gbp_5y	3	5
usd_gbp_10y	6	10
usd_gbp_30y	6	30
usd_jpy_2y	3	2
usd_jpy_5y	3	5
usd_jpy_10y	6	10
usd_jpy_30y	6	30