Default rolling swap strategies#
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:
usd_2y??
Output:
@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 |