Index

class sigtech.framework.instruments.indices.Index

Baseclasses: HistoricalFrameworkObject

Subclasses: BondIndex, SwapCurrencyIndex, BondCurveIndex, SwapIndex, CommodityIndex, CommodityComdty, EconomicIndex, EquityIndex, MarketCapWeightedIndex, StrategyIndex, FXIndex, YieldIndex, FXImpliedIndex, AnalystIndex, VolatilityIndex

A class representing published indices.

currency: str

property data_source_all

Data source of the instrument.

db_history_end_date: Optional[date]

db_sector: Optional[str]

description: Optional[str]

fixing_source: str

frequency: Optional[str]

schedule_start: Optional[date]

strategy_holidays: Optional[str]

ticker: Optional[str]

underlying_fixing_delay: Optional[int]

calendar_schedule()

This is when we expect data to arrive.

data_validation(sparse_series)

Additional data checks can be implemented here.

due_time()

Time when data from the index is expected to be in the system.

holidays()

List of holiday calendars for this instrument.

schedule_builder(start, end)

Build a schedule handling delivery operations.

Parameters:

• start – Start date.

• end – End date.

Returns:

A schedule object.

timezone()

Timezone info for this instrument.

underlying_spot_date(quote_date)

Underlying spot date.

param quote_date: Input quote date. return: Underlying spot date.