FXStraddle#

class rateslib.instruments.FXStraddle(*args, premium=(NoInput.blank, NoInput.blank), metric='vol', **kwargs)#

Bases: FXOptionStrat, FXOption

Create an FX Straddle option strategy.

For additional arguments see FXOption.

Parameters:

  • args (tuple) – Positional arguments to FXOption.

  • premium (2-element sequence, optional) – The premiums associated with each option of the straddle.

  • 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 and FX forward market.

Buying a Straddle equates to buying an FXCall and an FXPut at the same strike.

This class is essentially an alias constructor for an FXOptionStrat where the number of options and their definitions and nominals have been specifically set.

Attributes Summary

rate_weight

rate_weight_vol

style

Methods Summary

analytic_greeks([curves, solver, fx, base, ...])

Return various pricing metrics of the FX Option.

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 = [0.5, 0.5]#
style = 'european'#

Methods Documentation

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

Return various pricing metrics of the FX 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 from calibrating 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 is an FXRates or FXForwards object.

Return type:

float, Dual, Dual2

Notes

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.

See rate().