RollingSwaptionStrategy

class sigtech.framework.strategies.rolling_swaption_baskets.RollingSwaptionStrategy

Baseclasses: _RollingSwaptionStrategyBase

Subclasses: RollingSwaption

A rolling strategy that takes the same position in either a receiver or a payer swaption with the same expiration and strike rate.

The following RollingOptionsStrategyBase parameters are relevant for this strategy:

• target_type: Value to target, can be 'Notional', 'Fixed' (same as 'Notional'), 'PV', 'Gamma' or 'Vega'.

• target_quantity: Quantity to target.

• rolling_frequencies: List of rolling frequencies, e.g. ['3M'].

• roll_dates: Explicit list of roll dates.

• close_out_at_roll: Flag specifying whether to close existing swaption positions before the roll.

Additional attributes:

• expiry: Swaption expiry.

• strike (float): The rate at which the swap can be entered into. Can be 'ATM'. Default is None (equivalent to 'ATM').

• swaption_type (string): Type of swaption to roll, either 'Receiver', or 'Payer'.

• swap_tenor (string): The tenor of the underlying swap.

• group_name (string): Name of the swaption group. The currency group by default.

• forward_premium: Optional - to use forward (rather than spot) premium - either a forward premium value, or True to imply it from the swaption value (i.e. start_date 0 npv).

strike: Optional[Union[float, str]]

swap_tenor: str

swaption_type: Literal['Receiver', 'Payer']

roll_options(dt)

Set swaption position.

Parameters:

dt – Decision datetime.