FXMarket#

class sigtech.framework.infra.analytics.fx.fx_market.FXMarket

Class calculating yield curves used for forward rate calculation. It should only be used for USD-based FX forwards and depending on the config setting either Curve or ForwardPoint market is used.

In case of curve market, the foreign curve is implied from market FX forwards, and rates are interpolated according to the curve settings. The FX forwards are computed using the following formula:

\[FX_t = FX_0 \frac{P_{for}(0, t)}{P_{dom}(0,t)}\]

In case of forward points market, the FX forward points are interpolated form the market inputs (or pre-stored points) and then added to the spot in accordance with the corresponding market convention:

\[FX_t = FX_0 + {FXPoint}_t\]
universes = {'EXTERNAL_FX_UNIVERSE': <class 'sigtech.framework.infra.analytics.fx.fx_market.ExternalFXMarket'>, 'FWD_POINTS_UNIVERSE': <class 'sigtech.framework.infra.analytics.fx.fx_market.ForwardPointMarket'>, 'SIG_CURVE_UNIVERSE': <class 'sigtech.framework.infra.analytics.fx.fx_market.FXCurveMarket'>}
ROLL_OFFSET = {'12M': (1990-01-01 2 dtype: int64, {'months': 12}), '1M': (1990-01-01 2 dtype: int64, {'months': 1}), '1W': (1990-01-01 2 dtype: int64, {'weeks': 1}), '1Y': (1990-01-01 2 dtype: int64, {'years': 1}), '2M': (1990-01-01 2 dtype: int64, {'months': 2}), '3M': (1990-01-01 2 dtype: int64, {'months': 3}), '3M_IMM': (1990-01-01 5 2017-04-14 6 dtype: int64, None), '6M': (1990-01-01 2 dtype: int64, {'months': 6}), '9M': (1990-01-01 2 dtype: int64, {'months': 9}), 'ON': (1990-01-01 0 dtype: int64, {'BD': 1}), 'SN': (1990-01-01 2 dtype: int64, {'BD': 1}), 'TN': (1990-01-01 1 dtype: int64, {'BD': 1})}

Roll offset: how many business days are rolled before forward maturity.

calculate_forward_rate(over, under, quote_date, maturity, mode='mid', transaction_type=None, spot_date=None, data_point=None)

Calculate the forward rate for a given currency pair and maturity.

Parameters

  • over – Over currency.

  • under – Under currency.

  • quote_date – Quote date.

  • maturity – Maturity date.

  • mode – Mode (default is 'mid').

  • transaction_type – String identifier to indicate type of transaction, e.g. 'outright', 'roll' (optional).

  • spot_date – Spot date (optional).

  • data_point – Data point (optional).

Returns

Forward rate.

calculate_forward_rate_batch(over, under, quote_dates, maturities, mode='mid', transaction_type=None, spot_dates=None, data_point=None)

Calculate the forward rates for a given currency pair and list of maturity dates.

Parameters

  • over – Over currency.

  • under – Under currency.

  • quote_dates – Quote dates.

  • maturities – Maturity dates.

  • mode – Mode (default is 'mid').

  • transaction_type – String identifier to indicate type of transaction, e.g. 'outright', 'roll' (optional).

  • spot_dates – Spot dates (optional).

  • data_point – Data point (optional).

Returns

list.

day_count(currency, curve_day_count=None)

Return the day count given the currency.

Parameters

  • currency – Input currency.

  • curve_day_count – Curve day count (optional).

Returns

str.

property default_data_point

Return the default data point.

dependencies(over, under, time, tz: <module 'pytz.tzinfo' from '/github/home/.cache/pypoetry/virtualenvs/sigtech-framework-GMC81NYz-py3.9/lib/python3.9/site-packages/pytz/tzinfo.py'>, start_dt, end_dt)

Dependencies

discount_factor(currency, quote_date, start_date, end_date, mode='mid', data_point=None)

Calculate a discount factor.

Parameters

  • currency – Input currency.

  • quote_date – Quote date.

  • start_date – Period start date.

  • end_date – Period end date.

  • mode – Mode (default is 'mid').

  • data_point – Data point (optional).

Returns

Discount factor.

discount_factor_batch(currency, quote_dates, start_dates, end_dates, mode='mid', data_point=None)

Calculate a batch of discount factors.

Parameters

  • currency – Input currency.

  • quote_dates – List of quote dates.

  • start_dates – List of period start dates.

  • end_dates – List of period end dates.

  • mode – Mode (default is 'mid').

  • data_point – Data point (optional).

Returns

list.

forward_ticker(over, under, tenor)

Return the FX forward ticker.

Parameters

  • over – Over currency.

  • under – Under currency.

  • tenor – Tenor identifier.

Returns

str.

fx_curve_name(currency)

Return the FX curve name given an input currency.

Parameters

currency – Input currency.

Returns

str.

static fx_forward_convention(over, under)

Return a tuple (over, under, notional multiplier) following the market notional convention for FX forward trading. It assumes the long is under.

Parameters

  • over – Over currency.

  • under – Under currency.

Returns

tuple.

fx_forward_date(over, under, spot_date, fwd_tenor=None)

Return the FX forward maturity date in line with the convention.

Parameters

  • over – Over currency.

  • under – Under currency.

  • spot_date – Spot date.

  • fwd_tenor – Tenor identifier (optional).

Returns

date.

static fx_forward_delta_cutoff(over, under)

Return the FX forward delta cutoff for a currency pair.

Parameters

  • over – Over currency.

  • under – Under currency.

Returns

str.

fx_holiday_calendar_and_fixing_delay(over, under)

Return the FX holiday calendar identifier and the fixing delay.

If none of the currency is the base currency USD, the max of the two fixing delays is used to define the spot date.

Parameters

  • over – Over currency.

  • under – Under currency.

Returns

tuple.

fx_schedule(over, under)

Return the trade schedule for a currency pair.

Parameters

  • over – Over currency.

  • under – Under currency.

Returns

Schedule object.

fx_spot_date(over, under, quote_date)

Return the FX spot date.

Parameters

  • over – Over currency.

  • under – Under currency.

  • quote_date – Quote date.

Returns

Spot date.

fx_spot_date_inverse(over, under, spot_date)

Return the date for which spot_date represents the FX spot date. If spot_date is not a valid spot date, the date for which the spot date does not exceed spot_date is returned.

Parameters

  • over – Over currency.

  • under – Under currency.

  • spot_date – Spot date.

Returns

date.

generate_forward_dates(over, under, spot_date, tenors)

Return the FX forward maturity dates given a list of tenor identifiers.

Parameters

  • over – Over currency.

  • under – Under currency.

  • spot_date – Spot date.

  • tenors – Tenor identifiers.

Returns

list.

generate_fwd_forward_dates(over, under, spot_date, tenor_lists)

Generate a list of forward tenor dates given a list of forward tenors, e.g. ('1W', '1W').

Parameters

  • over – Over currency.

  • under – Under currency.

  • spot_date – Spot date.

  • tenor_lists – Forward tenors.

Returns

list.

static get_available_data_points()

Return the list of available data points.

get_next_forward_maturity(d, strategy)

Return the next forward maturity date given a reference date and a strategy.

Parameters

  • d – Reference date.

  • strategy – Strategy object.

Returns

Date.

hedge_schedule(start_date, end_date, over, under, forward_tenor)

Return the schedule given a currency pair, period and forward tenor.

Parameters

  • start_date – Period start date.

  • end_date – Period end date.

  • over – Over currency.

  • under – Under currency.

  • forward_tenor – Forward tenor.

Returns

Schedule.

implied_depo(currency, quote_date, tenor, spot_date=None, data_point=None)

Compute the implied depo rate given quote date and tenor.

Parameters

  • currency – Input currency.

  • quote_date – Quote date.

  • tenor – Tenor identifier.

  • spot_date – Spot date (optional).

  • data_point – Data point (optional).

Returns

float.

implied_depo_batch(currency, quote_dates, tenor, spot_dates=None, data_point=None)

Compute the implied depo rate batch given a list of quote dates and tenor.

Parameters

  • currency – Input currency.

  • quote_dates – Quote dates.

  • tenor – Tenor identifier.

  • spot_dates – Spot dates (optional).

  • data_point – Data point (optional).

Returns

list.

classmethod instance(universe_name=None)

Return the singleton instance of this class. If one for the given universe does not exist, create it.

is_forward_deliverable(over, under)

Check if the forward is deliverable.

Parameters

  • over – Over currency.

  • under – Under currency.

Returns

bool.

schedule_stub(over, under, group_name=None)

Return the schedule stub for a currency pair.

Parameters

  • over – Over currency.

  • under – Under currency.

  • group_name – Group name (optional).

Returns

ScheduleStub object.

static spot_ticker(over, under)

Return the FX spot ticker.

Parameters

  • over – Over currency.

  • under – Under currency.

Returns

str.