BondGroup

class sigtech.framework.instruments.bonds.BondGroup

Baseclasses: ContractGroup

A class representing a bond group.

calc_type: Optional[int]

contract_sector: str

contract_ticker: str

country: str

description: Optional[str]

due_time: time

exchange_code: Optional[str]

property first_contract

Returns the contract that has the earliest history_start_date.

fixing_source: Optional[str]

history_fields: list[str]

holidays: str

item_product_type: str

prime_history_field: str

tax_withholding: Optional[float]

timezone: str

valuation_time: time

classmethod from_contract(fixing_source: str, env: Optional[ConfiguredEnvironment] = None) → Self

Create a BondGroup from a fixing source.

Parameters:

• fixing_source – String fixing source.

• env – Configured environment (optional).

Returns:

Instance of BondGroup.

get_bond_yield_curve(currency=None)

Return on-the-run bonds yield curve object for bonds from this group, assuming they are all in the input

currency. (currency is determined from group defaults if omitted and it can be done)

Parameters:

currency – Currency of typical bond in the group (optional)

Returns:

BondYieldCurve

get_usual_bond_currency()

Currency of typical bond in this group.

Returns:

string

classmethod name_from_contract(fixing_source)

Create a BondGroup name from contract code.

Parameters:

fixing_source – Fixing source.

Returns:

Default name of instance of BondGroup

otr_series(tenor, start=None, end=None, shift=0, clean=False)

Return the On-The-Run series for the group.

Parameters:

• tenor – Tenor string in '[xx]Y' format, e.g. '10Y' or '5Y'.

• start – Start date of the series.

• end – End date of the series.

• shift – Parameter to move to off the run series (default is 0, i.e. on the run).

• clean – If True, cleans the series by truncating from the latest gap (default False).

otr_series_tenors(with_start_dates=False)

Return tenors of available On-The-Run tables for the group. if with_start_date is set to True, the starting dates of corresponding On-The-Run tables are returned as well.

Parameters:

with_start_dates – Return or ignore the tables start dates (False by default)

Returns:

list of available tenors, or dictionary of tenor-start_date mappings.