FXStrangle#

class rateslib.instruments.FXStrangle(*args, strike=[NoInput.blank, NoInput.blank], premium=[NoInput.blank, NoInput.blank], metric='single_vol', **kwargs)#

Bases: FXOptionStrat, FXOption

Create an FX Strangle option strategy.

For additional arguments see FXOption.

Parameters:

args (tuple) – Positional arguments to FXOption.
strike (2-element sequence) – The first element is applied to the lower strike put and the second element applied to the higher strike call, e.g. [“-25d”, “25d”].
premium (2-element sequence, optional) – The premiums associated with each option of the straddle.
metric (str, optional) – The default metric to apply in the method rate()
kwargs (tuple) – Keyword arguments to FXOption.

Notes

When supplying strike as a string delta the strike will be determined at price time from the provided volatility.

Buying a Strangle equates to buying a lower strike FXPut and buying a higher strike FXCall.

This class is essentially an alias constructor for an FXOptionStrat where the number of options and their definitions and nominals have been specifically set.

Warning

The default metric for an FXStraddle is ‘single_vol’, which requires an iterative algorithm to solve. For defined strikes it is usually very accurate but for strikes defined by delta it will return a solution within 0.1 pips. This means it is both slower than other instruments and inexact.

Attributes Summary

`rate_weight`
`rate_weight_vol`
`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])	Returns the rate of the FXStraddle according to a pricing metric.

Attributes Documentation

rate_weight = [1.0, 1.0]#

rate_weight_vol = [-1.0, 1.0]#

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 (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 is an FXRates or FXForwards object.

Return type:

float, Dual, Dual2

Notes

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=NoInput.blank)#

Returns the rate of the FXStraddle according to a pricing metric.

Warning

For parameters see rate()