FXPut#

class rateslib.instruments.FXPut(*args, **kwargs)#

Bases: FXOption

Create an FX Put option.

For parameters see FXOption.

Attributes Summary

style

Methods Summary

analytic_greeks([curves, solver, fx, base, ...])

Return various pricing metrics of the FX Option.

cashflows_table([curves, solver, fx, base])

delta([curves, solver, fx, base, local])

Calculate delta risk of an Instrument against the calibrating instruments in a Solver.

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])

plot_payoff([range, curves, solver, fx, ...])

rate([curves, solver, fx, base, vol, metric])

Calculate the rate of the FXOption

Attributes Documentation

style = 'european'#

Methods Documentation

analytic_greeks(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False, vol=NoInput.blank)#

Return various pricing metrics of the FX Option.

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 analytic_greeks.

  • local (bool,) – Not used by analytic_greeks.

  • vol (float, or FXDeltaVolSmile) – The volatility used in calculation.

Return type:

float, Dual, Dual2

cashflows_table(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#
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

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)#
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='pips_or_%')#

Calculate the rate of the FXOption

Return various pricing metrics of the FX Option.

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 analytic_greeks.

  • vol (float, or FXDeltaVolSmile) – The volatility used in calculation.

  • metric (str in {"pips_or_%", "vol", "premium"}, optional) – The pricing metric type to return. See notes.

Return type:

float, Dual, Dual2

Notes

The available choices for the pricing metric that can be used are:

  • “pips_or_%”: if the premium_ccy is the foreign (RHS) currency then pips will be returned, else if the premium is the domestic (LHS) currency then % of notional will be returned.

  • “vol”: the volatility used to price the option at that strike / delta is returned.

  • “premium”: the monetary amount in premium_ccy payable at the payment date is returned.