ButterflyBonds#

class sigtech.framework.strategies.structure_basket_strategies.ButterflyBonds

Baseclasses: StructureBasketBase

Strategy buying bond with medium-term tenor (tenor_medium) and selling same ccy bond with short-term tenor (tenor_short) and long-term tenor (tenor_long) if direction is long, else other way around. All other characteristics take default values. The strategy aims to benefit from changing curvature of the curve.

country: Two-letter country code, e.g. 'US' or 'CA'.

currency.

quantity_type: notional or dv01.

quantity: Notional or DV01 (depending on quantity_type) of the medium bond, defaults to 1.

tenor_short: Tenor of the short-term bond (e.g. ‘2Y’).

tenor_medium: Tenor of the medium-term bond (e.g. ‘5Y’).

tenor_long: Tenor of the long-term bond (e.g. ‘10Y’).

run_type: Run type: 'ON_THE_RUN', 'FIRST_OFF_THE_RUN', … 'THIRD_OFF_THE_RUN' supported,
defaults to 'ON_THE_RUN'.

direction: long or short, defaults to long.

start_date: Start date.

weights: Swap weights calculation (equal or delta_neutral based on DV01), defaults to equal.

Example object creation:

strat = sig.ButterflyBonds(country='US',
                       currency='USD',
                       tenor_short='2Y',
                       tenor_medium='5Y',
                       tenor_long='10Y',
                       direction='long',
                       start_date=dtm.date(2018, 2, 15),
                       quantity=100)

country: str

currency: Optional[str]

quantity: Optional[float]

quantity_type: Optional[Literal['notional', 'dv01']]

run_type: Optional[str]

tenor_long: str

tenor_medium: str

tenor_short: str

weights: Optional[Literal['equal', 'delta_neutral']]

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:: dt – Reference datetime.

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

Return bonds’ weights.