FXBrokerFly#

class rateslib.instruments.FXBrokerFly(*args, strike=(NoInput.blank, NoInput.blank, NoInput.blank), premium=(NoInput.blank, NoInput.blank, NoInput.blank, NoInput.blank), notional=(NoInput.blank, NoInput.blank), metric='single_vol', **kwargs)#

Bases: FXOptionStrat, FXOption

Create an FX BrokerFly option strategy.

For additional arguments see FXOption.

Parameters:

args (tuple) – Positional arguments to FXOption.
strike (3-element sequence) – The first element is applied to the lower strike put, the second element to the straddle strike and the third element to the higher strike call, e.g. [“-25d”, “atm_delta”, “25d”].
premium (4-element sequence, optional) – The premiums associated with each option of the strategy; lower strike put, straddle put, straddle call, higher strike call.
notional (2-element sequence, optional) – The first element is the notional associated with the Strangle. If the second element is None, it will be implied in a vega neutral sense.
metric (str, optional) – The default metric to apply in the method rate()
kwargs (tuple) – Keyword arguments to FXOption.

Notes

When supplying strike as a string delta the strike will be determined at price time from the provided volatility.

Buying a BrokerFly equates to buying an FXStrangle and selling a FXStraddle, where the convention is to set the notional on the Straddle such that the entire strategy is vega neutral at inception.

Warning

The default metric for an FXBrokerFly is ‘single_vol’, which requires an iterative algorithm to solve. For defined strikes it is usually very accurate but for strikes defined by delta it will return a solution within 0.1 pips. This means it is both slower than other instruments and inexact.

Attributes Summary

`rate_weight`
`rate_weight_vol`
`style`

Methods Summary

`analytic_greeks`([curves, solver, fx, base, ...])
`cashflows`([curves, solver, fx, base, vol])	Return the properties of all periods used in calculating cashflows.
`cashflows_table`([curves, solver, fx, base])	Aggregate the values derived from a `cashflows()` method on an Instrument.
`delta`([curves, solver, fx, base, local])	Calculate delta risk of an Instrument against the calibrating instruments in a `Solver`.
`exo_delta`(vars[, curves, solver, fx, base, ...])	Calculate delta risk of an Instrument against some exogenous user created Variables.
`gamma`([curves, solver, fx, base, local])	Calculate cross-gamma risk of an Instrument against the calibrating instruments of a `Solver`.
`npv`([curves, solver, fx, base, local, vol])	Return the NPV of the Option.
`plot_payoff`([range, curves, solver, fx, ...])
`rate`([curves, solver, fx, base, vol, metric])	Return the mid-market rate of an option strategy.

Attributes Documentation

rate_weight = [1.0, 1.0]#

rate_weight_vol = [1.0, -1.0]#

style = 'european'#

Methods Documentation

analytic_greeks(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False, vol=NoInput.blank)#

cashflows(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, vol=NoInput.blank)#

Return the properties of all periods used in calculating cashflows.

Parameters:

curves (list of Curve) – Curves for discounting cashflows. List follows the structure used by IRDs and should be given as: [None, Curve for domestic ccy, None, Curve for foreign ccy]
solver (Solver, optional) – The numerical Solver that constructs Curves from calibrating instruments.
fx (FXForwards) – The object to project the relevant forward and spot FX rates.
base (str, optional) – Not used by rate.
vol (float, Dual, Dual2 or FXDeltaVolSmile) – The volatility used in calculation.

Return type:

DataFrame

cashflows_table(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, **kwargs)#

Aggregate the values derived from a cashflows() method on an Instrument.

Parameters:

curves (CurveType, str or list of such, optional) – Argument input to the underlying cashflows method of the Instrument.
solver (Solver, optional) – Argument input to the underlying cashflows method of the Instrument.
fx (float, FXRates, FXForwards, optional) – Argument input to the underlying cashflows method of the Instrument.
base (str, optional) – Argument input to the underlying cashflows method of the Instrument.
kwargs (dict) – Additional arguments input the underlying cashflows method of the Instrument.

Return type:

DataFrame

delta(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False, **kwargs)#

Calculate delta risk of an Instrument against the calibrating instruments in a Solver.

Parameters:

curves (Curve, str or list of such, optional) –
A single Curve or id or a list of such. A list defines the following curves in the order:
- Forecasting Curve for leg1.
- Discounting Curve for leg1.
- Forecasting Curve for leg2.
- Discounting Curve for leg2.
solver (Solver, optional) – The Solver that calibrates Curves from given Instruments.
fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a FXRates or FXForwards object, converts from local currency into base.
base (str, optional) – The base currency to convert cashflows into (3-digit code), set by default. Only used if fx_rate is an FXRates or FXForwards object.
local (bool, optional) – If True will ignore base - this is equivalent to setting base to None. Included only for argument signature consistent with npv.

Return type:

DataFrame

exo_delta(vars, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False, vars_scalar=NoInput.blank, vars_labels=NoInput.blank, **kwargs)#

Calculate delta risk of an Instrument against some exogenous user created Variables.

See What are exogenous variables? in the cookbook.

Parameters:

vars (list[str]) – The variable tags which to determine sensitivities for.
curves (Curve, str or list of such, optional) –
A single Curve or id or a list of such. A list defines the following curves in the order:
- Forecasting Curve for leg1.
- Discounting Curve for leg1.
- Forecasting Curve for leg2.
- Discounting Curve for leg2.
solver (Solver, optional) – The Solver that calibrates Curves from given Instruments.
fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a FXRates or FXForwards object, converts from local currency into base.
base (str, optional) – The base currency to convert cashflows into (3-digit code), set by default. Only used if fx_rate is an FXRates or FXForwards object.
local (bool, optional) – If True will ignore base - this is equivalent to setting base to None. Included only for argument signature consistent with npv.
vars_scalar (list[float], optional) – Scaling factors for each variable, for example converting rates to basis point etc. Defaults to ones.
vars_labels (list[str], optional) – Alternative names to relabel variables in DataFrames.

Return type:

DataFrame

gamma(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False, **kwargs)#

Calculate cross-gamma risk of an Instrument against the calibrating instruments of a Solver.

Parameters:

curves (Curve, str or list of such, optional) –
A single Curve or id or a list of such. A list defines the following curves in the order:
- Forecasting Curve for leg1.
- Discounting Curve for leg1.
- Forecasting Curve for leg2.
- Discounting Curve for leg2.
solver (Solver, optional) – The Solver that calibrates Curves from given Instruments.
fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a FXRates or FXForwards object, converts from local currency into base.
base (str, optional) – The base currency to convert cashflows into (3-digit code), set by default. Only used if fx_rate is an FXRates or FXForwards object.
local (bool, optional) – If True will ignore base. This is equivalent to setting base to None. Included only for argument signature consistent with npv.

Return type:

DataFrame

npv(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False, vol=NoInput.blank)#

Return the NPV of the Option.

Parameters:

curves (list of Curve) – Curves for discounting cashflows. List follows the structure used by IRDs and should be given as: [None, Curve for domestic ccy, None, Curve for foreign ccy]
solver (Solver, optional) – The numerical Solver that constructs Curves, Smiles or Surfaces from calibrating instruments.
fx (FXForwards) – The object to project the relevant forward and spot FX rates.
base (str, optional) – The base currency to convert cashflows into (3-digit code). If not given defaults to fx.base.
local (bool, optional) – If True will return a dict identifying NPV by local currencies on each period.

Return type:

float, Dual, Dual2 or dict of such.

plot_payoff(range=NoInput.blank, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False, vol=NoInput.blank)#

rate(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, vol=NoInput.blank, metric=NoInput.blank)#

Return the mid-market rate of an option strategy.

Parameters:

curves
solver
fx
base
vol
metric

Return type:

float, Dual, Dual2

Notes

The different types of metric return different quotation conventions.

‘single_vol’: the default type for a FXStrangle
‘vol’: sums the mid-market volatilities of each option multiplied by their respective rate_weight_vol parameter. For example this is the default pricing convention for a FXRiskReversal where the price is the vol of the call minus the vol of the put and the rate_weight_vol parameters are [-1.0, 1.0].
‘pips_or_%’: sums the mid-market pips or percent price of each option multiplied by their respective rate_weight parameter. For example for a FXStraddle the total premium is the sum of two premiums and the rate_weight parameters are [1.0, 1.0].

FXBrokerFly#

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