FXExchange#

class rateslib.instruments.FXExchange(settlement, pair, fx_rate=NoInput.blank, notional=NoInput.blank, curves=NoInput.blank)#

Bases: Sensitivities, Metrics

Create a simple exchange of two currencies.

Parameters:

  • settlement (datetime) – The date of the currency exchange.

  • pair (str) – The curreny pair of the exchange, e.g. “eurusd”, using 3-digit iso codes.

  • fx_rate (float, optional) – The FX rate used to derive the notional exchange on Leg2.

  • notional (float) – The cashflow amount of the LHS currency.

  • curves (Curve, LineCurve, str or list of such, optional) – For FXExchange only discounting curves are required in each currency and not rate forecasting curves. The signature should be: [None, eur_curve, None, usd_curve] for a “eurusd” pair.

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.

fx_rate

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.

Methods Summary

analytic_delta(*args, **kwargs)

Return the analytic delta of a leg of the derivative object.

cashflows([curves, solver, fx, base])

Return the cashflows of the FXExchange by aggregating legs.

cashflows_table([curves, solver, fx, base])

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

delta(*args, **kwargs)

Calculate the delta of the Instrument.

exo_delta(vars[, curves, solver, fx, base, ...])

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

gamma(*args, **kwargs)

Calculate the gamma of the Instrument.

npv([curves, solver, fx, base, local])

Return the NPV of the FXExchange by summing legs.

rate([curves, solver, fx, base])

Return the mid-market rate of the instrument.

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

fx_rate#
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

Methods Documentation

analytic_delta(*args, **kwargs)#

Return the analytic delta of a leg of the derivative object.

Parameters:

  • args – Required positional arguments supplied to BaseLeg.analytic_delta.

  • leg (int in [1, 2]) – The leg identifier of which to take the analytic delta.

  • kwargs – Required Keyword arguments supplied to BaseLeg.analytic_delta().

Return type:

float, Dual, Dual2

Examples

In [1]: curve = Curve({dt(2021,1,1): 1.00, dt(2025,1,1): 0.83}, id="SONIA")

In [2]: fxr = FXRates({"gbpusd": 1.25}, base="usd")

In [3]: irs = IRS(
   ...:     effective=dt(2022, 1, 1),
   ...:     termination="6M",
   ...:     frequency="Q",
   ...:     currency="gbp",
   ...:     notional=1e9,
   ...:     fixed_rate=5.0,
   ...: )
   ...: 

In [4]: irs.analytic_delta(curve, curve)
Out[4]: 47156.00216054951

In [5]: irs.analytic_delta(curve, curve, fxr)
Out[5]: <Dual: 58945.002701, (fx_gbpusd), [47156.0]>

In [6]: irs.analytic_delta(curve, curve, fxr, "gbp")
Out[6]: 47156.00216054951
cashflows(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#

Return the cashflows of the FXExchange by aggregating legs.

For arguments see BaseMixin.npv

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(*args, **kwargs)#

Calculate the delta of the Instrument.

For arguments see Sensitivities.delta().

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(*args, **kwargs)#

Calculate the gamma of the Instrument.

For arguments see Sensitivities.gamma().

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

Return the NPV of the FXExchange by summing legs.

For arguments see BaseMixin.npv

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

Return the mid-market rate of the instrument.

For arguments see BaseMixin.rate