CurveSteepenerSwaps

class sigtech.framework.strategies.structure_basket_strategies.CurveSteepenerSwaps

Baseclasses: StructureBasketBase

Subclasses: CurveSteepener

Strategy buying spot starting IR receiver swap with short tenor (tenor_short) and selling same ccy swap with long tenor (tenor_long) if direction is long, else other way around. All other characteristics take default values. The strategy aims to benefit from changing steepness of the curve.

• currency.

• quantity_type: notional or pv01.

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

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

• tenor_long: Tenor of the long 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.CurveSteepenerSwaps(currency='USD',
                            tenor_short='2Y',
                            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_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.