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Default rolling swap strategies

Primer on default rolling swap strategies available within the framework.

Introduction

The following default strategies are created using our RollingSwapStrategy building block. They handle the rolling of forward starting IMM swaps in the defined currency, with a forward state date (months) and tenor (years).
These default strategies can be imported via the following:
from sigtech.framework.default_strategy_objects.rolling_swaps 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_2y??
@recorded_lru_cache()
def usd_2y():
"""
Define a strategy handling the rolling of forward starting IMM swaps in ``'USD'`` with start date at month 3 and
tenor ``'2Y'``.
"""
return RollingSwapStrategy(
{'currency': 'USD', 'start_date': datetime.date(2010, 6, 14), 'forward_start_months': 3, 'tenor': '2Y',
'db_ticker': 'USD 2Y 3M IMM RECEIVER RS'})

Default strategies list

Method
Forward Start (Months)
Tenor (Years)
aud_2y
3
2
aud_5y
3
5
aud_10y
6
10
cad_2y
3
2
cad_5y
6
5
cad_10y
6
10
cad_30y
6
30
eur_2y
3
2
eur_5y
3
5
eur_10y
6
10
eur_30y
6
30
gbp_2y
3
2
gbp_5y
3
5
gbp_10y
6
10
gbp_30y
6
30
jpy_2y
3
2
jpy_5y
3
5
jpy_10y
6
10
jpy_30y
6
30
usd_2y
3
2
usd_5y
3
5
usd_7y
3
7
usd_30y
6
30