Default rolling bond strategies

Primer on default rolling bond strategies available within the framework.

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