CreditIndex

class sigtech.framework.instruments.credit_index.CreditIndex

Baseclasses: OTCInstrumentWithPeriodicFlows

Class, implementing standard credit index, assuming we sell protection and receive the index contractual spread. SIG framework currently supports the following indices:

credit indices supported in framework

index	Description
CDX	CDX.NA.IG
HY	CDX.NA.HY
ITX	iTraxx Europe
XOVER	iTraxx Europe Crossover
EM	CDX.EM

Example object creation:

cdx = sig.CreditIndex(
    index='CDX',
    tenor='5Y',
    series=36,
)

This will create a CDX.NA.IG Series 36 5Y credit index (that started 20-Mar-2021, matures 22-Jun-2026 - this data is implied from the series number. )

currency: Optional[str]

property expiry_date: date

Contract expiry date.

property holidays

List of holiday calendars for this instrument.

index: str

series: int

tenor: str

coupon_dates()

All coupon dates of the index :return: list

ex_coupon_date(payment_date: date)

Date when the index trades ex-coupon for a given payment_date payment. Previous day for credit indices.