FXVolSurfaceIterator#
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class sigtech.framework.infra.analytics.fx.fx_vol_surface_iterator.FXVolSurfaceIterator
Class implementing an iterator for FX vol surfaces. The constructor takes a list of currency identifiers and loads all the combinations of FX vol surfaces.
Example of object creation:
vol_iterator = sig.FXVolSurfaceIterator(['USD', 'EUR', 'GBP']) list_surfaces = list(vol_iterator.iterate_surfaces())
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atm_vols_for_tenor(tenor: str) DataFrame
Return the history of ATM vols for each surface.
- Parameters:
tenor – Tenor of risk reversal, e.g.
'1W'
,'3M'
.- Returns:
pandas DataFrame.
-
butterfly(tenor: str, delta: int) DataFrame
Return the history of butterfly, calculated as 0.5 * (Call Vol + Put Vol) - ATM vol for each surface.
- Parameters:
tenor – Tenor of butterfly, e.g.
'1W'
,'3M'
.delta – Delta of underlying options, according to FX conventions, e.g. 25 means delta of 0.25.
- Returns:
pandas Dataframe.
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static get_all_available_surfaces_names()
Return the list of all available FX vol surfaces.
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static get_all_available_tenors()
Return the list of all available tenors.
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iterate_surfaces()
Iterate though the list of vol surfaces loaded.
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list_surfaces()
Return the list of vol surfaces loaded.
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risk_reversal(tenor: str, delta: int) DataFrame
Return the history of Call Vol minus Put Vol for each surface.
- Parameters:
tenor – Tenor of risk reversal, e.g.
'1W'
,'3M'
.delta – Delta of underlying options, according to FX conventions, e.g. 25 means call with delta of 0.25 minus put with delta of -0.25.
- Returns:
pandas Dataframe.