FXVolSurfaceIterator

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 load all the combinations of FX vol surfaces.

Example of object creation:

vol_iterator = FXVolSurfaceIterator(['USD', 'EUR', 'GBP'])

list_surfaces = list(vol_iterator.iterate_surfaces())

iterate_surfaces()

Iterate though the list of vol surfaces loaded.

list_surfaces()

Return the list of vol surfaces loaded.

risk_reversal(tenor: str, delta: int) → pandas.core.frame.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 usual FX convention, e.g. 25 means call with delta of 0.25 minus put with delta of -0.25.

Returns

pandas Dataframe.

atm_vols_for_tenor(tenor: str) → pandas.core.frame.DataFrame

Return the history of ATM vols for each surface.

Parameters

tenor – Tenor of risk reversal, e.g. '1W', '3M'.

Returns

pandas DataFrame.

static get_all_available_surfaces_names()

Return the list of all available FX vol surfaces.

static get_all_available_tenors()

Return the list of all available tenors.