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Rolling swap strategy
Primer on the RollingSwapStrategy class.
The purpose of this primer is to show how to work with the building block
RollingSwapStrategy.A notebook containing all the code used in this page can be accessed in the research environment: Example notebooks.
Setting up your environment takes three steps:
- Import the relevant internal and external libraries
- Configure the environment parameters
- Initialise the environment
import sigtech.framework as sig
import datetime as dtm
import seaborn as sns
sns.set(rc={'figure.figsize': (18, 6)})
sig.config.init();
The
RollingSwapStrategy object allows for automatic rolling of IMM Interest Rate Swaps.An example of building a rolling IRS strategy is given below.
roll_swap = sig.RollingSwapStrategy(
currency='EUR',
swap_currency='EUR',
forward_start_months=12,
rolling_frequency_months=3 ,
start_date=dtm.date(2020, 1, 4),
tenor='5Y',
roll_offset='-2',
pv01_target=200e3, # optional
pv01_target_type='Fixed' # optional
)
Python
Output
roll_swap.swap_pv01(dtm.datetime(2020, 5, 2))
201038.22420404755
Python
Output
roll_swap.history().tail()
2021-08-10 5.965495e+06
2021-08-11 6.198071e+06
2021-08-12 5.965723e+06
2021-08-13 6.241295e+06
2021-08-16 NaN
Name: (LastPrice, EOD, EUR D2BD8049 RSS STRATEGY), dtype: float64
Python
Output
roll_swap.history().plot() # returns PV history
Python
Output
roll_swap.roll_dates
[datetime.date(2017, 1, 5),
datetime.date(2017, 6, 14),
datetime.date(2017, 9, 13),
datetime.date(2017, 12, 13),
datetime.date(2018, 3, 14),
datetime.date(2018, 6, 13),
datetime.date(2018, 9, 12),
datetime.date(2018, 12, 12),
datetime.date(2019, 3, 13),
datetime.date(2019, 6, 12),
datetime.date(2019, 9, 11),
datetime.date(2019, 12, 11),
datetime.date(2020, 3, 11),
datetime.date(2020, 6, 10),
datetime.date(2020, 9, 9),
datetime.date(2020, 12, 9),
datetime.date(2021, 3, 10),
datetime.date(2021, 6, 9),
datetime.date(2021, 9, 8)]
The
RollingSwapStrategy will create each individual swap throughout the life of the strategy. Each of which can be called and explored in more detail.Python
Output
irs_positions = roll_swap.inspect.positions_df().columns.to_list()
irs = sig.obj.get(irs_positions[-1])
irs
EUR EURIBIMM A6M -0.001507 2021-06-14 M22X5Y IRS <class 'sigtech.framework.instruments.ir_otc.InterestRateSwap'>[140108985740752]
Python
Output
irs.carry_roll_down(d=dtm.date(2021, 6, 15),
dates=[dtm.date(2021, 6, 30),
dtm.date(2021, 12, 15),
dtm.date(2022, 6, 30)])
Last modified 10mo ago