Comment on page
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