Default rolling bond strategies
Primer on default rolling bond strategies available within the framework.
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
Output
usd_10y_first_off_the_run??
@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'})
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 |
Last modified 1yr ago