ButterflySwaps#

class sigtech.framework.strategies.structure_basket_strategies.ButterflySwaps

Baseclasses: StructureBasketBase

Subclasses: Butterfly

Strategy buying spot starting IR receiver swap with medium-term tenor (tenor_medium) and selling same ccy swaps 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.

currency.

quantity_type: notional or pv01.

quantity: Notional or PV01 (depending on quantity_type) of the medium swap, defaults to 1.

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

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

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

direction: long or short, defaults to long.

start_date: Start date.

weights: Swap weights calculation (equal or delta_neutral based on PV01), defaults to equal.

Example object creation:

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

quantity: Optional[float]

quantity_type: Optional[Literal['notional', 'pv01']]

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

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 swaps’ weights.