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API reference
The API reference provides comprehensive documentation for interacting with each element of SigTech's Python framework. You can browse it as a website or access specific elements as you're coding:

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Example

Input
Output
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sig.ReinvestmentStrategy?
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Init signature:
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sig.ReinvestmentStrategy(
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raw_data: Dict = None,
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identifier: Union[sigtech.framework.infra.data_adapter.identifier.Identifier, NoneType] = None,
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cache: bool = True,
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db=False,
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validate=True,
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check_input_parameters=True,
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env: Union[sigtech.framework.config.config.ConfiguredEnvironment, NoneType] = None,
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**kwargs,
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)
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Docstring:
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ReinvestmentStrategy - class used for handling corporate actions for underliers.
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Keyword arguments:
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* ``currency``.
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* ``start_date``.
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* ``underlyer`` (string identifier/ticker).
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* ``end_date`` (optional, default is date.max).
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* ``reinvest_cash_dividends`` (optional: if True reinvests dividends at payment date, default is True).
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* ``trade_swap_format`` (optional: if False trades cash equity otherwise equity swaps, default is False).
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* ``swap_include_financing`` (optional: include financing costs, default is True).
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* ``swap_reset_frequency`` (optional: determines frequency of swap reset: default is ``'SOM'``).
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* ``enable_tracking`` (optional: place adjustments to minimize exposure slippage, default is False).
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* ``tracking_threshold`` (optional: only need if 'enable_tracking' input is set to True, default is 1bps).
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* ``tracking_frequency`` (optional: determines frequency of tracking check: default is ``'SOM'``).
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* ``universe_filters`` (optional: list of filter names to be applied, default is False).
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* ``final_trade_out`` (optional: if True will trigger order to trade out at before expiry_date, default is False).
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* ``net_dividend_override`` (optional: net dividend, if None the corporate action data is used, default is None).
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* ``withholding_tax_override`` (optional: dividend tax, if None the net or equity group rate is used, default is None).
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* ``libor_instrument_name`` (optional: swap financing fixing source, default is ``'US0001M INDEX'``).
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* ``libor_spread`` (optional: financing spread, default is 25bps).
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* ``borrow_cost_ts`` (optional: fixed percentage rate or timeseries of percentage rates to use for shorting costs).
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* ``initial_shares`` (optional: number of shares to start with, if cash is not required ``'initial_cash'`` should be set to zero).
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* ``use_substrats`` (optional: if True will use reinvestment strategies for spinoffs/mergers, default is False).
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Example object creation:
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::
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reinv = ReinvestmentStrategy(
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currency='USD',
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start_date=dtm.date(2005, 12, 16),
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trade_swap_format=True,
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reinvest_cash_dividends=False,
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underlyer='6027 EQUITY',
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universe_filters=['compliance', 'internal', 'm_a_targets', 'special_shorts']
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)
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The underlying instrument can be traded in two formats:
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* cash (outright).
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* swap format (including financing leg).
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Internally the strategy constructs holding periods of the underlyer based on the filter lists and expiry date
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setting of the underlyer.
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The building block schedules decisions for handling corporation actions throughout the lifetime of the strategy.
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File: /opt/conda/envs/sig-env/lib/python3.7/site-packages/sigtech/framework/strategies/reinvestment_strategy.py
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Type: DObjectModelMeta
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Subclasses:
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