BaseTotalReturnSwapInstrument

class sigtech.framework.instruments.trs_otc.BaseTotalReturnSwapInstrument

Subclasses: BondTotalReturnSwapInstrument, TotalReturnIndexTotalReturnSwapInstrument, SingleStockTotalReturnSwapInstrument

Base class for underlying instrument of the total return swap. This class unifies the interfaces of bond, single stock, total return index, and other instruments supporting TRS.

cashflow_dict(history_dates, settlement_dates) → dict

Cashflow data given a list of reference dates and settlement dates.

Parameters:

• history_dates – Reference dates.

• settlement_dates – Settlement dates.

Returns:

dict.

static create_trs_instrument(instrument)

Create a TRS instrument from an underlying.

Parameters:

instrument – Underlying instrument.

Returns:

TRS instrument.

settlement_dates(history_dates)

Settlement dates given a list of reference dates.

Parameters:

history_dates – Reference dates.

Returns:

Settlement dates.

abstract classmethod underlying_type()

Type of the underlying.