BondTotalReturnSwapInstrument

class sigtech.framework.instruments.trs_otc.BondTotalReturnSwapInstrument

Baseclasses: BaseTotalReturnSwapInstrument

A class implementing a TRS for bonds.

BOND_FINANCING_TICKER_MAP = {'EN': ('SRIROTS INDEX', '1D'), 'FR': ('REFRFR INDEX', '1D'), 'GE': ('REFRDE INDEX', '1D'), 'IT': ('REFRIT INDEX', '1D'), 'US': ('USRG1Z ICUS CURNCY', '1W')}