Default rolling bond strategies

SigTech Platform User Guide

Default rolling bond strategies#

Introduction#

The following default strategies are created using our RollingBondStrategy building block. The strategy continually rolls on-the-run or off-the-run bonds for different tenors and issuers.

These default strategies can be imported via the following:

from sigtech.framework.default_strategy_objects.rolling_bonds import *

The easiest way to see which parameters are used is to look at the source code of any given default strategy. An example is shown below:

Python:

usd_10y_first_off_the_run??

Output:

@recorded_lru_cache()
def usd_10y_first_off_the_run():
    """
    Define a rolling bond strategy in USD with ``'FIRST_OFF_THE_RUN'`` run type and 10 years tenor.
    """
    return RollingBondStrategy(
        {'currency': 'USD', 'start_date': datetime.date(2003, 1, 3), 'country': 'US', 'tenor': '10Y',
         'run_type': 'FIRST_OFF_THE_RUN', 'db_ticker': 'USD 10Y US FIRST_OFF_THE_RUN RB'})

Default strategies list#

Method

Description

usd_10y_first_off_the_run

US 10Y Government Bond First Off The Run

usd_10y_on_the_run

US 10Y Government Bond On The Run

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