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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 1, 0, 0),
  datetime.datetime(2000, 3, 31, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 200000.0,
 'contracts': 1,
 'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_short'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 1, 0, 0),
  datetime.datetime(2000, 3, 31, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 200000.0,
 'contracts': 1,
 'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_short'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 1, 0, 0),
  datetime.datetime(2000, 3, 31, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_short'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 1, 0, 0),
  datetime.datetime(2000, 3, 31, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_long'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 1, 0, 0),
  datetime.datetime(2000, 3, 31, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'fed',
 'currency': 'usd',
 'calc_mode': 'ust_long'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur'}

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]: 
{'coupon': 4.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'tgt',
 'currency': 'eur',
 'calc_mode': 'eurex_eur'}

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]: 
{'coupon': 6.0,
 'delivery': (datetime.datetime(2000, 3, 10, 0, 0),
  datetime.datetime(2000, 3, 10, 0, 0)),
 'basket': <NoInput.blank: 0>,
 'nominal': 100000.0,
 'contracts': 1,
 'calendar': 'zur',
 'currency': 'chf',
 'calc_mode': 'eurex_chf'}

BondFuture#

USD#

CME Treasury Futures#

EUR#

CHF#

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