Default strategies

Rolling options

Predefined rolling option strategies. See sigtech.framework.strategies.rolling_option_baskets for more information about these objects.

sigtech.framework.default_strategy_objects.rolling_options.co_comdty_3m(use_cache: bool = True)

Define a straddle in USD with option group 'CO INDEX OTC OPTION GROUP', strike type 'SPOT', maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.eurusd_3m_delta(use_cache: bool = True)

Define a straddle in USD with option group 'EURUSD OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.eurusd_3m_delta_short(use_cache: bool = True)

Define a short straddle in USD with option group 'EURUSD OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.gbpusd_3m_delta(use_cache: bool = True)

Define a straddle in USD with option group 'GBPUSD OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.gc_comdty_3m(use_cache: bool = True)

Define a straddle in USD with option group 'GC INDEX OTC OPTION GROUP', strike type 'SPOT', maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.nky_index_3m_delta(use_cache: bool = True)

Define a straddle in USD with option group 'NKY INDEX OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.spx_index_3m_delta(use_cache: bool = True)

Define a straddle in USD with option group 'SPX INDEX OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.spx_index_3m_delta_hedged(use_cache: bool = True)

Define a delta hedging strategy for a straddle in USD with option group 'SPX INDEX OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M', rolling frequency '1M', delta multiplier -1.0, hedging instrument type 'FUTURE', hedging frequency '1BD' and delta threshold 0.0.

sigtech.framework.default_strategy_objects.rolling_options.spx_index_3m_delta_hedged_short(use_cache: bool = True)

Define a short delta hedging strategy for a straddle in USD with option group 'SPX INDEX OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M', rolling frequency '1M', delta multiplier -1.0, hedging instrument type 'FUTURE', hedging frequency '1BD' and delta threshold 0.0.

sigtech.framework.default_strategy_objects.rolling_options.sx5e_index_3m_delta(use_cache: bool = True)

Define a straddle in USD with option group 'SX5E INDEX OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.usdchf_3m_delta(use_cache: bool = True)

Define a straddle in USD with option group 'USDCHF OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

sigtech.framework.default_strategy_objects.rolling_options.usdjpy_3m_delta(use_cache: bool = True)

Define a straddle in USD with option group 'USDJPY OTC OPTION GROUP', strike type 'Delta', strike 0.5, maturity '3M' and rolling frequency '1M'.

Rolling swaptions

Predefined rolling swaption strategies. See sigtech.framework.strategies.rolling_swaption_baskets for more information about these objects.

sigtech.framework.default_strategy_objects.rolling_swaptions.eur_swaption_6mx5y_3m(use_cache: bool = True)

Define a 6Mx5Y ATM EUR swaption straddle rolling every 3M.

sigtech.framework.default_strategy_objects.rolling_swaptions.usd_swaption_6mx5y_3m(use_cache: bool = True)

Define a 6Mx5Y ATM USD swaption straddle rolling every 3M.

sigtech.framework.default_strategy_objects.rolling_swaptions.usd_swaption_6mx5y_3m_short(use_cache: bool = True)

Define a 6Mx5Y ATM USD swaption straddle (short) rolling every 3M.