CreditUtils

class sigtech.framework.instruments.credit_index.CreditUtils

Collection of utility functions for work with credit indices.

DEFAULTS_PATH = '/__w/framework/framework/framework/sigtech/framework/instruments/../config/data/market/credit_index.csv'

classmethod static_data()

Credit indices static data.

classmethod index_defaults(name: str, key: Optional[str] = None)

Retrieves default credit index values from data file.

classmethod supported_indices()

List of all credit indices supported in the framework.

static on_the_run_series_start_date(d: datetime.date) → datetime.date

Start date of the current on the run series on a given date.

classmethod on_the_run_series(name: str, d: datetime.date) → int

Current on-the-run series number for a given index and date.

classmethod series_start_date(name: str, series: int) → datetime.date

Series start date. (Actual, rather than theoretical 20th of the month))

classmethod schedule_stub(name: str)

Schedule stub for credit index.

Parameters

name – name of the index, 'CDX', 'HY', 'ITX', 'XOVER' or 'EM'.

Returns

Schedule stub.