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.

An FXBrokerFly is composed of an FXStrangle and an FXStraddle, in that order.

For additional arguments see FXOption.

Parameters:

args (tuple) – Positional arguments to FXOption.
strike (2-element sequence) – The first element should be a 2-element sequence of strikes of the FXStrangle. The second element should be a single element for the strike of the FXStraddle. call, e.g. [[“-25d”, “25d”], “atm_delta”].
premium (2-element sequence, optional) – The premiums associated with each option of the strategy; The first element contains 2 values for the premiums of each FXOption in the Strangle. The second element contains 2 values for the premiums of each FXOption in the Straddle.
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 at price time.
metric (str, optional) – The default metric to apply in the method rate()
kwargs (tuple) – Keyword arguments to FXOption.

Notes

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.

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

Warning

The default metric for an FXBrokerFly is ‘single_vol’, which requires an iterative algorithm to solve. For defined strikes it is 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

`fixed_rate`	If set will also set the `fixed_rate` of the contained leg1.
`float_spread`	If set will also set the `float_spread` of contained leg1.
`index_base`	If set will also set the `index_base` of the contained leg1.
`leg2_fixed_rate`	If set will also set the `fixed_rate` of the contained leg2.
`leg2_float_spread`	If set will also set the `float_spread` of contained leg2.
`leg2_index_base`	If set will also set the `index_base` of the contained leg1.
`periods`
`rate_weight`
`rate_weight_vol`
`style`

Methods Summary

`analytic_delta`(*args[, leg])	Not implemented for Option types.
`analytic_greeks`([curves, solver, fx, base, vol])	Return aggregated greeks of the FXOptionStrat.
`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 FXOptionStrat.
`plot_payoff`([range, curves, solver, fx, ...])
`rate`([curves, solver, fx, base, vol, metric])	Returns the rate of the FXBrokerFly according to a pricing metric.

Attributes Documentation

fixed_rate#

If set will also set the fixed_rate of the contained leg1.

Note

fixed_rate, float_spread, leg2_fixed_rate and leg2_float_spread are attributes only applicable to certain Instruments. AttributeErrors are raised if calling or setting these is invalid.

Type:: float or None

float_spread#

If set will also set the float_spread of contained leg1.

Type:: float or None

index_base#

If set will also set the index_base of the contained leg1.

Note

index_base and leg2_index_base are attributes only applicable to certain Instruments. AttributeErrors are raised if calling or setting these is invalid.

Type:: float or None

leg2_fixed_rate#

If set will also set the fixed_rate of the contained leg2.

Type:: float or None

leg2_float_spread#

If set will also set the float_spread of contained leg2.

Type:: float or None

leg2_index_base#

If set will also set the index_base of the contained leg1.

Note

index_base and leg2_index_base are attributes only applicable to certain Instruments. AttributeErrors are raised if calling or setting these is invalid.

Type:: float or None

periods#

rate_weight = [1.0, 1.0]#

rate_weight_vol = [1.0, -1.0]#

style = 'european'#

Methods Documentation

analytic_delta(*args, leg=1, **kwargs)#: Not implemented for Option types. Use analytic_greeks.

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

Return aggregated greeks of the FXOptionStrat.

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) – Not used by analytic_greeks.
vol (float, Dual, Dual2, FXDeltaVolSmile or FXDeltaVolSurface, or Sequence of such, optional) – The volatility used in calculation.

Return type:

dict

Notes

If the vol option is given as a Sequence of volatility values, these should be ordered according to each FXOption or FXOptionStrat contained on the Instrument. For nested FXOptionStrat use nested sequences.

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, FXDeltaVolSmile or FXDeltaVolSurface) – 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 FXOptionStrat.

Parameters:

curves (list of Curve) – Curves for discounting cashflows. List follows the structure used by IRDs and should be given as: [None, Curve for ccy1, None, Curve for ccy2]
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) – 3-digit currency in which to express values.
local (bool, optional) – If True will return a dict identifying NPV by local currencies on each period.
vol (float, Dual, Dual2, FXDeltaVolSmile or FXDeltaVolSurface, or Sequence of such, optional) – The volatility used in calculation.

Return type:

float, Dual, Dual2

Notes

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)#

Returns the rate of the FXBrokerFly according to a pricing metric.

For parameters see FXOptionStrat.rate.

Notes

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 0.01 pips. This means it is both slower than other instruments and inexact.

The metric ‘vol’ is not sensible to use with an FXBrokerFly, although it will return the arithmetic average volatility across both strategies, ‘single_vol’ is the more standardised choice.

FXBrokerFly#

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