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FXOTCOption

FXOTCOption#

class sigtech.framework.instruments.options.FXOTCOption

Baseclasses: OTCOption

Subclasses: FXOTCDigitalOption

A class implementing OTC FX option instruments.

  • over: Over currency of the underlying pair (e.g. USD for EURUSD).

  • under: Under currency of the underlying pair (e.g. EUR for EURUSD).

  • currency: Option premium currency. By default it is the market convention premium currency (i.e., over for non-premium adjusted pairs, and under for premium-adjusted pairs).

Example creation:

instr = sig.FXOTCOption(
    over='USD',
    under='EUR',
    strike=1.0635,
    start_date=dtm.date(2017, 1, 6),
    maturity_date=dtm.date(2017, 4, 6),
    option_type='Call'
)
property available_data_points

Data points available for this instrument.

currency: Optional[str]
over: str
under: str
underlying: Optional[str]
exposure()

Return the option exposure at its currency.

metrics(fields=None, data_dates=None, data_point=None, vol_override=None, spot_override=None, forward_override=None)

Get time series of standard option Greeks and/or NPV, determined by the fields parameter. All Greeks are the actual derivatives, computed analytically or numerically, depending on the option and pricer type.

Parameters:

  • fields – Name of a Greek or ‘NPV’ to output. Can be a list, e.g. [‘NPV’,’Delta’,’Vega’]. If None is passed, all available metrics are returned. A list of Greeks for the_option can be obtained from the_option.greek_fields.

  • data_dates – (Optional) Date or list of dates for which the option metrics are needed. If None is passed, the full time series is returned.

  • data_point – (Optional) Valuation data point.

  • vol_override – (Optional) fixed constant vol to be used over all dates instead of the market implied vols, or pd.Series of constant vols per date (forward filling the missing ones).

  • spot_override – (Optional) spot override to use.

  • forward_override – (Optional) forward override to use.

Returns:

Time series of the requested metrics.

settlement_value()

Settlement value for the instrument.