Chore: Make release 1.0.38

jtranquilli · Sep 20, 2023 · 1b82ff4 · 1b82ff4
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diff --git a/...sk/00_instruments_and_measures/examples/02_fx/000205_fx_var_swap_trade_construction.ipynb b/...sk/00_instruments_and_measures/examples/02_fx/000205_fx_var_swap_trade_construction.ipynb
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+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "pycharm": {
+     "is_executing": true
+    }
+   },
+   "outputs": [],
+   "source": [
+    "from gs_quant.instrument import FXVarianceSwap"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from gs_quant.session import GsSession\n",
+    "# external users should substitute their client id and secret; please skip this step if using internal jupyterhub\n",
+    "GsSession.use(client_id=None, client_secret=None, scopes=('run_analytics'))"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# get list of properties of an fx var swap\n",
+    "FXVarianceSwap.properties()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "swap = FXVarianceSwap(pair='GBPUSD', last_fixing_date='3m', buy_sell='Buy')\n",
+    "swap.resolve()\n",
+    "print(swap.strike_vol*100)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import pprint \n",
+    "pp = pprint.PrettyPrinter(indent=4)\n",
+    "\n",
+    "#forward starting var swap\n",
+    "fwd_6m6m_swap = FXVarianceSwap(pair='USDJPY', first_fixing_date='6m', last_fixing_date='1y', buy_sell='Buy')\n",
+    "fwd_6m6m_swap.resolve()\n",
+    "pp.pprint(fwd_6m6m_swap.as_dict())"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {
+    "pycharm": {
+     "name": "#%% md\n"
+    }
+   },
+   "source": [
+    "**Fixing frequency** defaults to 'Daily/Business Days' but many other conventions are supported such as:\n",
+    "* 'Daily/All Days'\n",
+    "* 'Daily/Holiday'\n",
+    "* 'Daily/MonToSat'\n",
+    "* 'Daily/Weighted Lagging'\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "weighted_swap = FXVarianceSwap(pair='GBPUSD', last_fixing_date='1y', buy_sell='Buy', fixing_frequency='Daily/Weighted Lagging')\n",
+    "weighted_swap.resolve()\n",
+    "pp.pprint(weighted_swap.as_dict())"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {
+    "pycharm": {
+     "name": "#%% md\n"
+    }
+   },
+   "source": [
+    "**Fixing source** defaults to 'WM Company LDN 4pm Mid' but other options include:\n",
+    "* 'GS NYC 3PM'\n",
+    "* 'WM Company NYC 10am Mid'\n",
+    "* 'BFIX LDN 4PM'\n",
+    "* 'WMC Company LDN 1pm Mid'\n",
+    "\n",
+    "We also have bloomberg options as well such as 'BFIX TKO 3pm-m'. \n",
+    "We're happy to confirm the syntax if you are looking for a fixing source that is not mentioned here.\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bfix = FXVarianceSwap(pair='GBPUSD', last_fixing_date='1y', buy_sell='Buy', fixing_source='BFIX LDN 4PM')\n",
+    "bfix.resolve()\n",
+    "print(bfix.strike_vol)"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.7.4"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}