RollingAssetSwapStrategy

class sigtech.framework.strategies.structure_basket_strategies.RollingAssetSwapStrategy

Baseclasses: RollingStructureBasketStrategy, RollingBondStrategy

Subclasses: RollingAssetSwap

Rolling asset swap strategy. Inherits roll schedule logic from ‘RollingBondStrategy`.

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

• tenor: Tenor string in "[xx]Y" format, e.g. "10Y" or "5Y".

• currency.

• 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’’: Strategy start date.

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

Example object creation:

strat = sig.RollingAssetSwapStrategy(
    country='US',
    tenor = '10Y',
    currency='USD',
    run_type='ON_THE_RUN',
    start_date = dtm.date(2018, 1, 5),
    notional=100
)

notional: Optional[float]

property rolling_table

Return roll schedule.

property trade_roll_schedule

Builds the bond rolling table.

Returns:

Built rolling table as a pandas DataFrame.

property underlying_rolling_table

Builds the bond rolling table.

Returns:

Built rolling table as a pandas DataFrame.

unit_type: Optional[str]

earliest_start_date()

Earliest possible date where all dependencies can be computed.

rolling_schedule()

Return roll schedule.