OISSwapGroup#

class sigtech.framework.instruments.ois_swap.OISSwapGroup

Baseclasses: InterestRateSwapGroup

A class implementing an ois swap group.

static get_group(currency: str)

Create on the fly OIS SWAP GROUP for given currency

Parameters:: currency –
Returns:

classmethod name_from_contract(fixing_source)

Create an ois swap group name from fixing source.

Parameters:: fixing_source – Fixing source.
Returns:: Default name of instance of InterestRateSwapGroup.

static standard_fixings_object_name(currency, d: date = None, env=None)

Returns the name of the standard OIS fixings object for the given currency, e.g. 'SONIO/N INDEX' for 'GBP'. d parameter is optional, and needed for cases when the standard index changed for a currency, e.g. from 'FEDL01 INDEX' to 'SOFR INDEX' for 'USD'. env parameter is optional - in case object names are different in different environments.