Cash

class sigtech.framework.instruments.cash.Cash

Baseclasses: Instrument

Subclasses: Margin

Cash object representing an instrument that is always worth 1 in a given currency.

The interest rate fix is used to create a cash strategy if one has not been defined in the default strategies.

Keyword arguments:

• currency: str.

• 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 object creation:

from sigtech.framework.instruments.cash import Cash

cash = Cash(currency='USD')

property dependency_type

Dependency type

fixing_delay: Optional[Union[list, str]]

interest_rate_fix: Optional[Union[list, str]]

property size_type

Type of trade size for the instrument.

property start_date

start date for history

property valuation_time

Valuation time.

calendar_schedule() → Schedule

A calendar schedule - a schedule that is corresponding to a history schedule, but without min and max dates set.

Returns:

Calendar schedule instance for the instrument.

static cash_name_from_currency(currency: str) → str

Instrument name from currency ticker.

Parameters:

currency – Currency ticker.

Returns:

str.

trade_line(units, size_date, rounded_units=True)

Trade entry containing information about units and string representation.

Parameters:

• units – Number of units.

• size_date – Size date.

• rounded_units – If True, use rounded units to get positions (optional True by default).

Returns:

Scaled units and trade description.

valuation_point() → str

Valuation Point used to infer the field, time and timezone for the valuation.