qis.run_asset_fx_hedging_report

qis.run_asset_fx_hedging_report(asset_price_local_ccy, fx_rates_data, local_ccy='USD', reference_ccy='CHF', time_period=None, freq='ME', span=36, risk_aversion_lambda=1.3333333333333333, min_max_hedge=(0.0, 1.0))[source]

Single-asset FX-hedging tearsheet for a local-currency asset in a reference ccy.

Builds the reference-currency NAVs at hedge ratios h in {0, 0.5, 1} plus the beta-, carry-, and optimal-hedge variants, and plots a risk-adjusted performance table, the NAV/drawdown panel, a Sharpe bar, the hedge ratios over time, and the EWMA FX beta/vol. The optimizer knobs (span, risk_aversion_lambda, min_max_hedge) are passed explicitly to compute_fx_optimal_hedge and compute_fx_vol_beta rather than relying on their defaults.

Parameters:

  • asset_price_local_ccy (Series) – Asset price quoted in local_ccy.

  • fx_rates_data (FxRatesData) – FX rates container providing the cross rate and CIP forward.

  • local_ccy (str) – Currency the asset is denominated in.

  • reference_ccy (str) – Reporting / investor currency.

  • time_period (TimePeriod) – Optional date filter for the plotted series.

  • freq (str) – Resampling frequency (e.g. 'ME').

  • span (int) – EWMA span (periods of freq) for the FX vol/beta estimates.

  • risk_aversion_lambda (float) – Mean-variance risk aversion for the carry tilt.

  • min_max_hedge (Tuple[float, float] | None) – Optional (min, max) clip on the hedge ratios.

Returns:

The assembled matplotlib Figure.

Return type:

Figure