TotalReturnSwapStrategy

class sigtech.framework.strategies.trs_strategy.TotalReturnSwapStrategy

Baseclasses: DailyStrategy

A strategy that holds a total return swap.

currency: Optional[str]

financing_ticker: Optional[list[str]]

maturity: date

order_type: Optional[Literal['group', 'split', 'auto']]

reference_name: str

ann01_series()

Return the modified duration timeseries.

dv01_series()

Return the dollar duration (DV01) timeseries.

schedule_information()

Return the schedule information for this strategy.

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.

yield_series()

Return the yield timeseries.