RollingSwapStrategy

class sigtech.framework.strategies.rolling_swap_strategy.RollingSwapStrategy

Baseclasses: RollingStrategyBase

Strategy handling the rolling of forward starting IMM swaps. Swaps are receivers (receiving fixed, paying floating).

Keyword arguments:

• tenor: Swap tenor.

• roll_offset: Roll days offset to the IMM swap reset dates.

• forward_start_months: Forward swap start date (in months, multiple of 3).

• rolling_frequency_months: Rolling frequency (in months, multiple of 3, if not specified it coincides with forward_start_months).

• swap_currency: Swap’s underlying currency, if None strategy currency is driving the underlying swaps traded.

• pv01_target: Trade PV01 if pv01_target_type is Fixed, else PV01 per unit of notional.

• pv01_target_type: Fixed or Relative, default is Fixed.

• notional_target: Fixed notional amount for every traded swap. If None - notional scales with strategy valuation.

• custom_roll_table: Optional. If supplied should be a list of tuples like (swap roll date, swap start date)

Example object creation:

rs = sig.RollingSwapStrategy(
    tenor="10Y",
    currency="USD",
    swap_currency="USD",
    rolling_frequency_months=6,
    forward_start_months=6,
    start_date=dtm.date(2010, 1, 4)
)

rs = sig.RollingSwapStrategy(
    tenor="10Y",
    currency="USD",
    swap_currency="USD",
    rolling_frequency_months=6,
    forward_start_months=6,
    start_date=dtm.date(2010, 1, 4),
    pv01_target=100,
    pv01_target_type='Fixed'
)

rs = sig.RollingSwapStrategy(
    tenor="10Y",
    currency="USD",
    swap_currency="USD",
    rolling_frequency_months=6,
    forward_start_months=6,
    start_date=dtm.date(2010, 1, 4),
    pv01_target=0.001,
    pv01_target_type='Relative'
)

custom_roll_table: Optional[list[tuple[datetime.date, datetime.date]]]

forward_start_months: Optional[int]

property holidays

List of known holiday calendars.

notional_target: Optional[float]

pv01_target: Optional[float]

pv01_target_type: Optional[Literal['Fixed', 'Relative']]

roll_offset: Optional[str]

rolling_frequency_months: Optional[int]

property rolling_table

Builds the strategy’s rolling table.

Returns:

Built rolling table as a pandas DataFrame.

swap_currency: Optional[str]

swap_type: Optional[Literal['OIS', 'IBOR']]

tenor: str

bd_schedule() → StrategySchedule

Combined schedule of the group’s and TradingManager’s holidays.

generate_roll_dates(d: date)

Populates the roll dates from a given date until the end of the swap.

Parameters:

d – Input date.

Returns:

static next_imm_date(d: date, offset: int, currency: str) → date

Get the next IMM date for a currency given an input date.

Parameters:

• d – Input date.

• offset – Input offset.

• currency – Currency identifier.

Returns:

Date.

rolling_schedule()

Determine the dates to trade on.

schedule_information() → StrategySchedule

Schedule using the group’s holidays.

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.

swap_pv01(dt: datetime) → float

Returns the swap PV01 value at the given datetime.

Parameters:

dt – Reference datetime.

Returns:

The swap PV01, scaled by the amount of the swap held.

swap_pv01_series() → Series

Return the swap PV01 time series over the whole history of the swap.

swap_rate(dt: datetime) → float

Return the swap rate at the given datetime.

Parameters:

dt – Reference datetime.

Returns:

The swap rate.

swap_rate_series() → Series

Return the swap rate time series over the whole history of the swap.