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v8 Framework
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Tutorial: duration weighted strategy
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Fixed income
Design and execute fixed income strategies on the SigTech platform:
  • ​Bonds: choose and query bond data.
  • ​Swaps: create and work with interest rate swaps.
  • ​Asset swaps: create and work with Matched Maturity Asset Swaps.
  • ​Rolling bond strategy building block: continually rolls on-the-run or off-the-run bonds for different tenors and issuers.
  • ​Rolling swap strategy: automatically roll IMM Interest Rate Swaps.
  • ​Tutorial: duration weighted strategy: step-by-step walkthrough for constructing a duration weighted spread between different tenors of government bonds by the same issue.
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