CrossCurrencySwapGroup

class sigtech.framework.instruments.xccy_swap.CrossCurrencySwapGroup

Baseclasses: ContractGroup

A class implementing a cross currency swap group.

due_time: Optional[time]

fixing_source: Optional[str]

holidays: str

timezone: str

TIMEZONE_PRIORITY = {'AUD': 6, 'CAD': 4, 'EUR': 2, 'GBP': 3, 'JPY': 5, 'USD': 1}

valuation_time: Optional[time]

static from_contract(fixing_source: str) → Any

Create a xccy swap group from fixing source.

Parameters:

fixing_source – Fixing source.

Returns:

Instance of CrossCurrencySwapGroup.

static get_group(pair: str)

Create on the fly XCCY SWAP GROUP for given currency pair

Parameters:

pair – e.g. ‘EURUSD’

Returns:

static name_from_contract(fixing_source: str) → str

Create a xccy swap group name from fixing source.

Parameters:

fixing_source – Fixing source.

Returns:

Default name of instance of CrossCurrencySwapGroup.