Default strategies

Rolling swaps

Predefined rolling swap strategies. See sigtech.framework.strategies.rolling_swap_strategy for more information about these objects.

sigtech.framework.default_strategy_objects.rolling_swaps.aud_10y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'AUD' with start date at month 6 and tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.aud_10y_short(use_cache: bool = True)

Define a short strategy handling the rolling of forward starting IMM swaps in 'AUD' with start date at month 6 and tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.aud_2y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'AUD' with start date at month 3 and tenor '2Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.aud_5y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'AUD' with start date at month 3 and tenor '5Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.cad_10y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'CAD' with start date at month 6 and tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.cad_2y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'CAD' with start date at month 3 and tenor '2Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.cad_30y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'CAD' with start date at month 6 and tenor '30Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.cad_5y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'CAD' with start date at month 3 and tenor '5Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.eur_10y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'EUR' with start date at month 6 and tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.eur_2y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'EUR' with start date at month 3 and tenor '2Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.eur_30y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'EUR' with start date at month 6 and tenor '30Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.eur_5y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'EUR' with start date at month 3 and tenor '5Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.gbp_10y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'GBP' with start date at month 6 and tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.gbp_2y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'GBP' with start date at month 3 and tenor '2Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.gbp_30y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'GBP' with start date at month 6 and tenor '30Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.gbp_5y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'GBP' with start date at month 3 and tenor '5Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.jpy_10y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'JPY' with start date at month 6 and tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.jpy_2y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'JPY' with start date at month 3 and tenor '2Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.jpy_30y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'JPY' with start date at month 6 and tenor '30Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.jpy_5y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'JPY' with start date at month 3 and tenor '5Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.usd_10y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'USD' with start date at month 6 and tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.usd_2y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'USD' with start date at month 3 and tenor '2Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.usd_30y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'USD' with start date at month 6 and tenor '30Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.usd_5y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'USD' with start date at month 3 and tenor '5Y'.

sigtech.framework.default_strategy_objects.rolling_swaps.usd_7y(use_cache: bool = True)

Define a strategy handling the rolling of forward starting IMM swaps in 'USD' with start date at month 3 and tenor '7Y'.

Rolling FX hedged swaps

Predefined rolling swap (FX hedged) strategies. See sigtech.framework.strategies.fx_forward_hedging_strategy for more information about these objects.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_aud_10y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'AUD' with tenor '10Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_aud_10y_short(use_cache: bool = True)

Define a rolling swap going short a strategy handling the rolling of forward starting IMM swaps in 'AUD' with tenor '10Y'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_aud_2y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'AUD' with tenor '2Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_aud_5y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'AUD' with tenor '5Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_cad_10y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'CAD' with tenor '10Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_cad_2y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'CAD' with tenor '2Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_cad_30y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'CAD' with tenor '30Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_cad_5y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'CAD' with tenor '5Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_eur_10y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'EUR' with tenor '10Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_eur_2y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'EUR' with tenor '2Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_eur_30y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'EUR' with tenor '30Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_eur_5y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'EUR' with tenor '5Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_gbp_10y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'GBP' with tenor '10Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_gbp_2y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'GBP' with tenor '2Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_gbp_30y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'GBP' with tenor '30Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_gbp_5y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'GBP' with tenor '5Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_jpy_10y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'JPY' with tenor '10Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_jpy_2y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'JPY' with tenor '2Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_jpy_30y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'JPY' with tenor '30Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

sigtech.framework.default_strategy_objects.rolling_swaps_fx_hedged.usd_jpy_5y(use_cache: bool = True)

Define a rolling swap going long a strategy handling the rolling of forward starting IMM swaps in 'JPY' with tenor '5Y'. The swap goes short 'USD' with exposure rebalance threshold 0.02, hedge rebalance threshold 0.02 and hedging tenor '1M'.

Rolling bonds

Predefined rolling bond strategies. See sigtech.framework.strategies.roll_bond_strategy for more information about these objects.

sigtech.framework.default_strategy_objects.rolling_bonds.usd_10y_first_off_the_run(use_cache: bool = True)

Define a rolling bond strategy in USD with 'FIRST_OFF_THE_RUN' run type and 10 years tenor.

sigtech.framework.default_strategy_objects.rolling_bonds.usd_10y_first_off_the_run_short(use_cache: bool = True)

Define a short rolling bond strategy in USD with 'FIRST_OFF_THE_RUN' run type and 10 years tenor.

sigtech.framework.default_strategy_objects.rolling_bonds.usd_10y_on_the_run(use_cache: bool = True)

Define a rolling bond strategy in USD with 'ON_THE_RUN' run type and 10 years tenor.