BondFuture#

USD#

CME Treasury Futures#

2-year

In [1]: defaults.spec["us_gb_2y"]
Out[1]: 
{'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_short',
 'nominal': 200000.0,
 'coupon': 6.0}

In [2]: BondFuture(spec="us_gb_2y", delivery=(dt(2000, 3, 1), dt(2000, 3, 31))).kwargs
Out[2]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x170647b90>

3-year

In [3]: defaults.spec["us_gb_3y"]
Out[3]: 
{'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_short',
 'nominal': 200000.0,
 'coupon': 6.0}

In [4]: BondFuture(spec="us_gb_3y", delivery=(dt(2000, 3, 1), dt(2000, 3, 31))).kwargs
Out[4]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x170644e90>

5-year

In [5]: defaults.spec["us_gb_5y"]
Out[5]: 
{'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_short',
 'nominal': 100000.0,
 'coupon': 6.0}

In [6]: BondFuture(spec="us_gb_5y", delivery=(dt(2000, 3, 1), dt(2000, 3, 31))).kwargs
Out[6]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x170646bd0>

10-year

In [7]: defaults.spec["us_gb_10y"]
Out[7]: 
{'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_long',
 'nominal': 100000.0,
 'coupon': 6.0}

In [8]: BondFuture(spec="us_gb_10y", delivery=(dt(2000, 3, 1), dt(2000, 3, 31))).kwargs
Out[8]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x170645f70>

30-year

In [9]: defaults.spec["us_gb_30y"]
Out[9]: 
{'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_long',
 'nominal': 100000.0,
 'coupon': 6.0}

In [10]: BondFuture(spec="us_gb_30y", delivery=(dt(2000, 3, 1), dt(2000, 3, 31))).kwargs
Out[10]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705ea090>

EUR#

Eurex Schatz

In [11]: defaults.spec["de_gb_2y"]
Out[11]: 
{'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur',
 'nominal': 100000.0,
 'coupon': 6.0}

In [12]: BondFuture(spec="de_gb_2y", delivery=dt(2000, 3, 10)).kwargs
Out[12]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705e8ad0>

Eurex Bobl

In [13]: defaults.spec["de_gb_5y"]
Out[13]: 
{'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur',
 'nominal': 100000.0,
 'coupon': 6.0}

In [14]: BondFuture(spec="de_gb_5y", delivery=dt(2000, 3, 10)).kwargs
Out[14]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705ea870>

Eurex Bund

In [15]: defaults.spec["de_gb_10y"]
Out[15]: 
{'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur',
 'nominal': 100000.0,
 'coupon': 6.0}

In [16]: BondFuture(spec="de_gb_10y", delivery=dt(2000, 3, 10)).kwargs
Out[16]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x171f0cb30>

Eurex Buxl

In [17]: defaults.spec["de_gb_30y"]
Out[17]: 
{'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur',
 'nominal': 100000.0,
 'coupon': 4.0}

In [18]: BondFuture(spec="de_gb_30y", delivery=dt(2000, 3, 10)).kwargs
Out[18]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x171f0d0d0>

Eurex OAT 5y

In [19]: defaults.spec["fr_gb_5y"]
Out[19]: 
{'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur',
 'nominal': 100000.0,
 'coupon': 6.0}

In [20]: BondFuture(spec="fr_gb_5y", delivery=dt(2000, 3, 10)).kwargs
Out[20]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x171f0cbf0>

Eurex OAT 10y

In [21]: defaults.spec["fr_gb_10y"]
Out[21]: 
{'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur',
 'nominal': 100000.0,
 'coupon': 6.0}

In [22]: BondFuture(spec="fr_gb_10y", delivery=dt(2000, 3, 10)).kwargs
Out[22]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x171f0cb90>

Eurex BONO

In [23]: defaults.spec["sp_gb_10y"]
Out[23]: 
{'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur',
 'nominal': 100000.0,
 'coupon': 6.0}

In [24]: BondFuture(spec="sp_gb_10y", delivery=dt(2000, 3, 10)).kwargs
Out[24]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705e8710>

CHF#

CONF Futures

In [25]: defaults.spec["ch_gb_10y"]
Out[25]: 
{'calendar': 'zur',
 'currency': 'chf',
 'calc_mode': 'eurex_chf',
 'nominal': 100000.0,
 'coupon': 6.0}

In [26]: BondFuture(spec="ch_gb_10y", delivery=dt(2000, 3, 10)).kwargs
Out[26]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705eb8f0>

GBP#

ICE/LIFFE Gilt Futures 2y

In [27]: defaults.spec["uk_gb_2y"]
Out[27]: 
{'calendar': 'ldn',
 'currency': 'gbp',
 'calc_mode': 'ice_gbp',
 'nominal': 100000.0,
 'coupon': 3.0}

In [28]: BondFuture(spec="uk_gb_2y", delivery=dt(2000, 3, 10)).kwargs
Out[28]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705e89b0>

ICE/LIFFE Gilt Futures 5y

In [29]: defaults.spec["uk_gb_5y"]
Out[29]: 
{'calendar': 'ldn',
 'currency': 'gbp',
 'calc_mode': 'ice_gbp',
 'nominal': 100000.0,
 'coupon': 4.0}

In [30]: BondFuture(spec="uk_gb_5y", delivery=dt(2000, 3, 10)).kwargs
Out[30]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705e8650>

ICE/LIFFE Gilt Futures 10y

In [31]: defaults.spec["uk_gb_10y"]
Out[31]: 
{'calendar': 'ldn',
 'currency': 'gbp',
 'calc_mode': 'ice_gbp',
 'nominal': 100000.0,
 'coupon': 4.0}

In [32]: BondFuture(spec="uk_gb_10y", delivery=dt(2000, 3, 10)).kwargs
Out[32]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705e87d0>

ICE/LIFFE Gilt Futures 30y

In [33]: defaults.spec["uk_gb_30y"]
Out[33]: 
{'calendar': 'ldn',
 'currency': 'gbp',
 'calc_mode': 'ice_gbp',
 'nominal': 100000.0,
 'coupon': 4.0}

In [34]: BondFuture(spec="uk_gb_30y", delivery=dt(2000, 3, 10)).kwargs
Out[34]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x1705eb650>
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