StructureBasketBase

class sigtech.framework.strategies.structure_basket_strategies.StructureBasketBase

Baseclasses: DailyStrategy

Subclasses: AssetSwap, CurveSteepenerBonds, CurveSteepenerSwaps, ButterflyBonds, ButterflySwaps

Base strategy for structure baskets strategies.

• initial_cash: Cash to include, defaults to 0.

initial_cash: Optional[float]

close_out(dt)

Close out of underlying position.

Parameters:

dt – Reference datetime.

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

Returns quantities of instruments in the basket. Needs to be implemented in child classes