Default rolling swap strategies

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