Fig. 1 Here’s the code that creates a vanilla FX option with a strike price equal to the euro-U.S. dollar forward rate.
Fig. 2 Create a matrix of prices for five different dates and at levels 5%, 10%, 15%, 20%, and 25% above spot.
valuation_dates = [“2019-11-15”, “2019-12-16”, “2020-01-15”, “2020-02-18”, “2020-03-16”]
spot_levels = [1.05, 1.10, 1.15, 1.20, 1.25]
shocs = create_scenarios(shocapisvc, blpapi_session, identity, spot_levels)
if not shocs:
print(“Could not create the scenarios”)
sys.exit(ERROR_CREATE_SCENARIO)dataframe = pandas.DataFrame()
securities = [{“type”: “dealHandle”, “value”: deal_handle}]
for valuation_date in valuation_dates:
request = create_scenario_request(marsapisvc, session_id, shocs.keys(), valuation_date, securities)
scenario_to_port_val = send_mars_api_pricing_request(request, marsapisvc, blpapi_session, identity, process_
scenario_pricing_response, {})
matrix_row = pandas.DataFrame(scenario_to_port_val, index=[valuation_date])
dataframe = dataframe.append(matrix_row)
print(str(dataframe.rename(columns=shocs).T.sort_index()))deal_type = "VA.FX"
expiry_date = datetime.date(2020,11,16)
settlement_date = datetime.date(2020,11,18)
strike_atmf = get_strike_atmf("FX1YEUUS Index", datetime.datetime.now())
print("Creating a long European Call on EURUSD with a strike at " + '{:,.4f}'.format(strike_atmf))overrides ={
"UnderlyingTicker":"EURUSD Curncy",
"CallPut":["Call"],
"Direction":["Buy"],
"ExerciseType":["European"],
"Notional": 1000000.0,
"NotionalCurrency":"EUR",
"ExpiryDate": expiry_date,
"SettlementCurrency":"USD",
"SettlementDate": settlement_date,
"Strike": strike_atmf
}request = marsapisvc.createRequest("structureRequest")
request.set("sessionId", session_id)
request.set("tail", deal_type)deal_structure_overrides = request.getElement("dealStructureOverride")
set_overrides(deal_structure_overrides, overrides)deal_handle = send_request(request, blpapi_session, identity, process_structure_response, 'structureResponse')<GO> INSIDE THE TERMINAL 25