IRSwapMarket

class sigtech.framework.instruments.ir_otc.IRSwapMarket

Class containing utilities and constants based on market conventions for Interest Rate Swaps.

OVERRIDES_SHORT_NAMES = {'discount_curve': 'DC', 'fixed_day_count': 'FIX_DC', 'fixes_index': 'IDX', 'float_day_count': 'FLT_DC', 'forecast_curve': 'FC'}

SUPPORTED_OVERRIDES = ['fixed_frequency', 'float_frequency', 'fixed_day_count', 'float_day_count', 'forecast_curve', 'discount_curve', 'fixes_index']

static discounting_curve_name(currency, overrides={})

Discounting curve name.

Parameters:

• currency – Currency identifier.

• overrides – Dict fields to override.

Returns:

Discounting curve name.

static fixed_frequency(currency, overrides={})

Swap fixed frequency.

Parameters:

• currency – Currency identifier.

• overrides – Dict fields to override.

Returns:

Fixed frequency.

static fixes_index_name(currency, overrides={})

Fixes index name.

Parameters:

• currency – Currency identifier.

• overrides – Dict fields to override.

Returns:

Fixes index name.

static fixes_index_name_override(overrides={})

Fixes index name override.

Parameters:

overrides – Dict fields to override.

Returns:

Fixes index name.

static float_frequency(currency, overrides={})

Swap float frequency.

Parameters:

• currency – Currency identifier.

• overrides – Dict fields to override.

Returns:

Float frequency.

static forecasting_curve_name(currency, overrides={})

Forecasting curve name.

Parameters:

• currency – Currency identifier.

• overrides – Dict fields to override.

Returns:

Forecasting curve name.

static index_fixing_lag(currency)

Number of days between fixing and effective date.

Parameters:

currency – Currency identifier.

Returns:

int.

static standard_fixings_object_name(currency, tenor, env=None)

Returns the name of the standard fixings object for the given currency and tenor, e.g. 'US0003M INDEX' for '3M' 'USD'. env parameter is optional - in case object names are different in different environments.