9_FX_forward.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import os\n",
    "import datetime\n",
    "import numpy as np\n",
    "import pandas as pd\n",
    "\n",
    "import QuantExt as qe"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "from quant_lib.fx_swap_curve import get_quote, usdirs_curve, krwccs_curve"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "class FXF():\n",
    "    def __init__(self, today, maturity_date, fx_spot, fx_forward, usd_notional, position):\n",
    "        \n",
    "        # initial setup\n",
    "        self.date = today\n",
    "        self.usd_curve = self.usd_curve(self.date)\n",
    "        self.krw_curve = self.krw_curve(self.date)\n",
    "        self.fx_spot = fx_spot\n",
    "\n",
    "\n",
    "        self.maturity_date = qe.Date(maturity_date.day, maturity_date.month, maturity_date.year)\n",
    "        self.usd = qe.KRWCurrency()\n",
    "        self.krw = qe.USDCurrency()\n",
    "        self.usd_notional = usd_notional\n",
    "        self.krw_notional = usd_notional * fx_forward\n",
    "\n",
    "        self.day_count = qe.ActualActual()\n",
    "\n",
    "        if position == 'long':\n",
    "            self.payCcy1 = True\n",
    "        else:\n",
    "            self.payCcy1 = False\n",
    "\n",
    "\n",
    "        # pricing result\n",
    "        self.npv = self.PRICING(self.usd_curve, self.krw_curve, self.fx_spot)\n",
    "        self.fx_delta = self.FX_DELTA()\n",
    "        self.usd_ir_delta = self.USD_IR_DELTA()\n",
    "        self.krw_ir_delta = self.KRW_IR_DELTA()\n",
    "        self.theta = self.THETA()\n",
    "    \n",
    "    def usd_curve(self, date):\n",
    "        return usdirs_curve(date, get_quote(date, 'USD'))\n",
    "    \n",
    "    def krw_curve(self, date):\n",
    "        return krwccs_curve(date, get_quote(date, 'KRW'))\n",
    "\n",
    "\n",
    "    def PRICING(self, usd_curve, krw_curve, fx_spot):\n",
    "        \n",
    "        # Handles of Market variables\n",
    "        usd_curve_handle = qe.YieldTermStructureHandle(usd_curve)\n",
    "        krw_curve_handle = qe.YieldTermStructureHandle(krw_curve)\n",
    "        fx_spot_handle = qe.QuoteHandle(qe.SimpleQuote(fx_spot))\n",
    "\n",
    "        # FX forward instrument\n",
    "        fxf = qe.FxForward(self.krw_notional,\n",
    "                           self.krw,\n",
    "                           self.usd_notional,\n",
    "                           self.usd,\n",
    "                           self.maturity_date,\n",
    "                           self.payCcy1 \n",
    "                        )\n",
    "\n",
    "        engine = qe.DiscountingFxForwardEngine(self.krw,\n",
    "                                               krw_curve_handle,\n",
    "                                               self.usd,\n",
    "                                               usd_curve_handle,\n",
    "                                               fx_spot_handle\n",
    "                                            )\n",
    "\n",
    "        # conduct pricing\n",
    "        fxf.setPricingEngine(engine)\n",
    "\n",
    "        # fx forward price\n",
    "        npv = fxf.NPV()\n",
    "\n",
    "        return npv\n",
    "\n",
    "    \n",
    "    def FX_DELTA(self):\n",
    "\n",
    "        percentage = 0.01\n",
    "\n",
    "        # FX forward price when 1% up\n",
    "        up_fx = self.fx_spot * (1 + percentage)\n",
    "        up_fxf = self.PRICING(self.usd_curve, self.krw_curve, up_fx)\n",
    "\n",
    "        # FX forward price when 1% down\n",
    "        down_fx = self.fx_spot * (1 - percentage)\n",
    "        down_fxf = self.PRICING(self.usd_curve, self.krw_curve, down_fxf)\n",
    "\n",
    "        return  (up_fxf - down_fxf) / 2\n",
    "\n",
    "\n",
    "\n",
    "\n",
    "    def USD_IR_DELTA(self):\n",
    "        # Handle of USD curve\n",
    "        curve_handle = qe.YieldTermStructureHandle(self.usd_curve)\n",
    "\n",
    "        # 1 bp\n",
    "        basis_point = 0.0001\n",
    "\n",
    "        # FX forward price when 1bp up\n",
    "        up_curve = qe.ZeroSpreadedTermStructure(curve_handle, qe.QuoteHandle(qe.SimpleQuote(basis_point)))\n",
    "        up_fxf = self.PRICING(up_curve, self.krw_curve, self.fx_spot)\n",
    "\n",
    "        # FX forward price when 1bp down\n",
    "        down_curve = qe.ZeroSpreadedTermStructure(curve_handle, qe.QuoteHandle(qe.SimpleQuote(-basis_point)))\n",
    "        down_fxf = self.PRICING(down_curve, self.krw_curve, self.fx_spot)       \n",
    "\n",
    "        return (up_fxf - down_fxf) / 2\n",
    "    \n",
    "    \n",
    "    def KRW_IR_DELTA(self):\n",
    "        # Handle of KRW curve\n",
    "        curve_handle = qe.YieldTermStructureHandle(self.krw_curve)\n",
    "\n",
    "        # 1 bp\n",
    "        basis_point = 0.0001\n",
    "\n",
    "        # FX forward price when 1bp up\n",
    "        up_curve = qe.ZeroSpreadedTermStructure(curve_handle, qe.QuoteHandle(qe.SimpleQuote(basis_point)))\n",
    "        up_fxf = self.PRICING(self.usd_curve, up_curve, self.fx_spot)\n",
    "\n",
    "        # FX forward price when 1bp down\n",
    "        down_curve = qe.ZeroSpreadedTermStructure(curve_handle, qe.QuoteHandle(qe.SimpleQuote(basis_point)))\n",
    "        down_fxf = self.PRICING(self.usd_curve, down_curve, self.fx_spot)\n",
    "\n",
    "        return (up_fxf - down_fxf) / 2\n",
    "\n",
    "\n",
    "\n",
    "    def THETA(self):\n",
    "        # theta is change in value if one unit time passes.\n",
    "        # in here, unit time is 1 day\n",
    "        # since derivative product have time value, time to maturity is major variable in pricing derivatives\n",
    "        price_t0 = self.PRICING(self.usd_curve, self.krw_curve, self.fx_spot)\n",
    "\n",
    "        # FX Forward price at t1\n",
    "        usd_curve_t1 = self.usd_curve(self.date + datetime.datetime(days=1))\n",
    "        krw_curve_t1 = self.krw_curve(self.date + datetime.datetime(days=1))\n",
    "\n",
    "        price_t1 = self.PRICING(usd_curve_t1, krw_curve_t1, self.fx_spot)\n",
    "\n",
    "        return price_t1 - price_t0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "todays_date = datetime.date(2020, 10, 9)\n",
    "maturity_date = datetime.date(2021, 10, 9)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "position = 'long'\n",
    "fx_spot = 1153.30\n",
    "fx_forward = 1152.32\n",
    "\n",
    "usd_notional = 10000000\n",
    "krw_notional = usd_notional * fx_forward"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [],
   "source": [
    "# build FXF object\n",
    "fxf = FXF(today=todays_date,\n",
    "        maturity_date=maturity_date,\n",
    "        fx_spot=fx_spot,\n",
    "        fx_forward=fx_forward,\n",
    "        usd_notional=usd_notional,\n",
    "        position=position\n",
    ")\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "price of FXF = -25312.9725\n",
      "FX Delta = 115055468.771\n",
      "USD IR Delta = -1166534.6159\n",
      "KRW IR Delta = 1150557.2209\n",
      "Theta = -48267.3058\n"
     ]
    }
   ],
   "source": [
    "print(\"price of FXF = {}\".format(round(fxf.npv,4)))\n",
    "print(\"FX Delta = {}\".format(round(fxf.fx_delta,4)))\n",
    "print(\"USD IR Delta = {}\".format(round(fxf.usd_ir_delta,4)))\n",
    "print(\"KRW IR Delta = {}\".format(round(fxf.krw_ir_delta,4)))\n",
    "print(\"Theta = {}\".format(round(fxf.theta,4)))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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