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AssetSwap

AssetSwap#

class sigtech.framework.strategies.structure_basket_strategies.AssetSwap

Baseclasses: StructureBasketBase

Strategy buying a fixed-coupon bond and selling a matching receiver swap with the same maturity, coupon (as fixed rate) and currency.

  • bond_name: Name of bond to trade.

  • notional: Amount in currency to invest in the bond, defaults to 1.

  • currency.

  • direction: long or short, defaults to long.

  • trade_date: Trade date, if NA or before the bond’s issue date - defaults to the bond’s issue date .

  • swap_start_date: Swap start date, if NA - defaults to swap spot date (usually 2BD after swap trade date).

Example object creation:

strat = sig.AssetSwap(bond_name="US 2.5 2025/01/31 GOVT",
                  currency='USD',
                  notional=100,
                  trade_date=dtm.date(2018, 2, 15),
                  include_trading_costs=False,
                  total_return=False)
bond_name: str
notional: Optional[float]
swap_start_date: Optional[date]
trade_date: Optional[date]
strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.

structure_instruments() → list[tuple[str, float]]

Creates a matching swap for the bond and returns quantities of both