InterestRateFuture

class sigtech.framework.instruments.futures.InterestRateFuture

Baseclasses: Future

Class representing interest rate future instrument.

Example object creation:

from sigtech.framework.instruments.futures import InterestRateFuture

future = InterestRateFuture(
    contract_code='ED',
    contract_size=1000000.0,
    currency='USD',
    ticker='EDZ18',
    exchange_code='CMEIRF(T) EXCHANGE GROUP',
    expiry_date_stored=dtm.date(2018, 12, 17),
    first_delivery_date=dtm.date(2018, 12, 17),
    first_delivery_notice_date=dtm.date(2018, 12, 17),
    first_trade_date=dtm.date(2008, 12, 15),
    futvalpt_raw='2500.00',
    last_delivery_date=dtm.date(2018, 12, 17),
)

fixed_fut_val_pt = {'IR': 10000.0, 'ZB': 10000.0}

fut_val_pt(d)

Adjusted value change by price factor for 1.0 point move in the future price.

Parameters:

d – Reference date.

Returns:

Adjusted value change.

sizing_price(sizing_dt, ccy=None, execution_dt=None)

Price on sizing date.

Parameters:

• sizing_dt – Sizing datetime.

• ccy – Currency string identifier (optional).

• execution_dt – Execution datetime (optional).

Returns:

Sizing price.

spot_dv01(d: Optional[Union[date, DatetimeIndex]] = None) → Union[float, Series]

Calculates the DV01 of an interest rate future at a particular date. This is defined as the price move of a futures contract for a 1 basis point change in yield. For interest rate futures, this will be constant and does not require a date input.

Parameters:

d – Reference date d or DatetimeIndex

Returns:

DV01 value as a float, or a Series if d is a DatetimeIndex

spot_dv01_dependencies(d: DatetimeIndex)

Return a list of dependencies for the spot_dv01 calculation.

yield_to_price(raw_price, notional=100.0)

Price from yield quoted price. This function is applicable only to AUD and NZD 90 days bank bill futures, as their quoting convention is via yield rather than rate.

Parameters:

• raw_price – Input price.

• notional – Input notional (optional).

Returns:

Calculated price.