FXRiskReversal#

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

Bases: FXOptionStrat, FXOption

Create an FX Risk Reversal option strategy.

A RiskReversal is composed of a lower strike FXPut and a higher strike FXCall.

For additional arguments see FXOption.

Parameters:

args (tuple) – Positional arguments to FXOption.
strike (2-element sequence) – The first element is applied to the lower strike put and the second element applied to the higher strike call, e.g. [“-25d”, “25d”].
premium (2-element sequence, optional) – The premiums associated with each option of the risk reversal.
metric (str, optional) – The default metric to apply in the method rate()
kwargs (tuple) – Keyword arguments to FXOption.

Notes

Buying a Risk Reversal equates to selling a lower strike FXPut and buying a higher strike FXCall. The notional of each are the same, and should be entered as a single value. A positive notional will indicate a sale of the Put and a purchase of the Call.

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

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

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])	Return various pricing metrics of the FXOptionStrat.

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)#

Return various pricing metrics 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) – Not used by the rate method.
vol (float, Dual, Dual2, FXDeltaVolSmile or FXDeltaVolSurface, or Sequence of such, optional) – The volatility used in calculation. See notes.
metric (str in {"pips_or_%", "vol", "premium"}, optional) – The pricing metric type to return. See notes for FXOption.rate

Return type:

float, Dual, Dual2

Notes

For example, for an FXBrokerFly, which contains an FXStrangle and an FXStraddle, vol may be entered as [[12, 11], 10] which are values of 12% and 11% on the Strangle options and 10% for the two Straddle options, or just “fx_surface1” which will determine all volatilities from an FXDeltaVolSurface associated with a Solver, with id: “fx_surface1”.

FXRiskReversal#

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