RollingStructureBasketStrategy

class sigtech.framework.strategies.structure_basket_strategies.RollingStructureBasketStrategy

Baseclasses: RollingStrategyBase

Subclasses: RollingAssetSwapStrategy, RollingCurveSteepenerBondsStrategy, RollingCurveSteepenerSwapsStrategy, RollingButterflyBondsStrategy, RollingButterflySwapsStrategy, RollingStructureBasket

Base class for rolling structure basket strategies.

• trade_out_end: If true, closes all positions on last trading day of strategy.

property holidays

List of known holiday calendars.

property rolling_table

Builds the strategy’s rolling table.

Returns:

Built rolling table as a pandas DataFrame.

trade_out_end: Optional[bool]

property trade_roll_schedule

Builds the strategy’s rolling table.

Returns:

Built rolling table as a pandas DataFrame.

carry_roll_down(d: date, dates: Union[str, date, list[Union[str, datetime.date]]])

Compute carry and roll-down of underlying instruments and sum for the structure basket by moving the valuation date forward to the requested dates. Alternatively call carry_roll_down methods on each of the underlying separately (e.g. on Bond, Swap, etc.) to specify additional parameters.

Parameters:

• d – Valuation date.

• dates – String/date or a list of strings/dates for which the carry/roll-down is needed.

Returns:

pd.DataFrame

rolling_schedule()

Return roll schedule.

schedule_information()

Return the schedule information for this group.

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.