RatesStrategyMixin

class sigtech.framework.strategies.rates_strategy_mixin.RatesStrategyMixin

Baseclasses: FrameworkObject

Subclasses: RatesStrategy, RatesBasketStrategy, RatesSignalStrategy

A mixin for strategies trading interest rate products.

default_sizing_method: Optional[str]

property static_size

Property specifying initial size of the strategy for performance considerations.

unit_type: Optional[str]

pv01_exposure(dts: Optional[Union[str, datetime, list[datetime.datetime]]] = None)

Computes a dataframe of PV01 exposures of the strategy per currency and tenor.

Parameters:

dts – Datetime, iterable of Datetimes or String to identify times to include.

Returns:

Exposure dataframe.