IndexSwap#
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class sigtech.framework.instruments.index_swap.IndexSwap
Baseclasses:
TradableInstrumentThis class implements as index swap.
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property exchange_code
Exchange code for traded instruments belonging to this group.
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index: str
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maturity: date
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property settlement_type
Type of settlement, e.g. ‘Cash’ or ‘Physical’.
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property size_type
Type of trade size for the instrument.
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strike: Optional[float]
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trade_date: date
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property valuation_time
Valuation time for the instrument.
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calendar_schedule()
This is when we expect data to arrive
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static history_strike_base(d, index_name)
Historical data of an index.
- Parameters:
d – Input date.
index_name – Name of the index.
- Returns:
Spot value.
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schedule_stub()
Schedule stub.