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CashIndex

CashIndex#

class sigtech.framework.indices.cash_index.CashIndex

Baseclasses: CalculatedIndex

A class implementing a cash asset based on interest rate fix instrument, e.g. ‘FEDL01 INDEX’.

Keyword arguments:

  • currency: str.

  • start_date: str or datetime.

  • interest_rate_fix: Ticker (str) or list of [ticker (str), date effective until inclusive (datetime.date)] to create a composite index if interest rate ticker changes over time.

  • fixing_delay: Delay (str), e.g. ‘1BD’, or list of [start date inclusive (str), delay (str)].

Example of object creation:

import datetime as dtm

rf = sig.CashIndex(currency='USD',
               start_date=dtm.date(2000, 1, 5),
               interest_rate_fix='FEDL01 INDEX',
               fixing_delay='1BD')

Fixing delay is an input to account for publication delay in the interest rate fixes, i.e. FEDL01 Index fix published at 8:30 a.m. America/New_York for the previous day.

Example ‘1BD’ fixing_delay: the cash index calculation performed on t+1 for value on t will use the fixing from t-2.

Cash formula used:

\[{CI}_t = {CI}_{t-1} * \left( 1.0 + r_{t-1}^{lag} * \frac{0.01}{day count} \right)\]

Scheduling for cash indices is every calendar day.

rf = CashIndex(currency=’EUR’,

start_date=’2000-01-03’, interest_rate_fix=[[‘EONIA INDEX’, ‘2021-01-02’], [‘ESTR INDEX’, None]], fixing_delay=[[‘2000-01-03’,’0BD’], [‘2005-01-03’,’1BD’]])

In the example above EONIA INDEX is replaced with ESTR INDEX after ‘2021-01-02’ as an underlying of the cash index. Fixing delay is ‘0BD’ at the start, changes to ‘1BD’ from ‘2005-01-03’.

fixing_delay: Union[list, str]
interest_rate_fix: Union[list, str]
property valuation_time

The valuation time/tz represents the time at which interest is earned on cash. Here we assert that you only earn interest if cash is held over midnight.

static available_currencies()

Return a list of available currencies to use in CashIndex.from_currency.

calculation_start_date()

Return the start date based on the interest rate fix.

static from_currency(ccy, long=False, env: Optional[ConfiguredEnvironment] = None)

Return a cash index object from a currency ticker.

Parameters:

  • ccy – Currency ticker.

  • long – If True, the cash account is ‘long’ the selected currency (optional, default is False).

  • env – Configured environment (optional).

Returns:

Object.

static name_from_currency(curncy, long=False, env: Optional[ConfiguredEnvironment] = None)

Return the instrument ticker from a currency ticker.

Parameters:

  • curncy – Currency ticker.

  • long – If True, the cash account is ‘long’ the selected currency (optional, default is False).

  • env – Configured environment (optional).

Returns:

Object.

schedule_information()

Return the schedule information for this instrument.