SingleStockTotalReturnSwapInstrument
SingleStockTotalReturnSwapInstrument#
-
class sigtech.framework.instruments.trs_otc.SingleStockTotalReturnSwapInstrument
A class implementing a TRS for single stocks.
-
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.