STIR Futures

Warning

Do not use these specifications on an rateslib.instruments.IRS to replicate a STIR rate with a Swap like Instrument. The convention is often manually chosen as ‘ActActICMA’ to replicate an exchange’s payoff structure for contracts of variable length.

EUR

ESTR 3m

In [1]: defaults.spec["eur_stir"]
Out[1]: 
{'frequency': 'q',
 'roll': 'imm',
 'eom': False,
 'modifier': 'mf',
 'calendar': 'tgt',
 'payment_lag': 0,
 'currency': 'eur',
 'convention': 'actacticma',
 'leg2_spread_compound_method': 'none_simple',
 'leg2_fixing_method': 'rfr_payment_delay',
 'leg2_fixing_series': 'eur_rfr',
 'nominal': 1000000.0}

In [2]: STIRFuture(dt(2023, 3, 15), dt(2023, 6, 21), spec="eur_stir").kwargs
Out[2]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c7ef590>

ESTR 1m Averaged

In [3]: defaults.spec["eur_stir1"]
Out[3]: 
{'frequency': 'm',
 'roll': 'som',
 'eom': False,
 'modifier': 'mf',
 'calendar': 'tgt',
 'payment_lag': 0,
 'currency': 'eur',
 'convention': 'actacticma',
 'leg2_spread_compound_method': 'none_simple',
 'leg2_fixing_method': 'rfr_payment_delay_avg',
 'leg2_fixing_series': 'eur_rfr',
 'nominal': 3000000.0}

In [4]: STIRFuture(dt(2023, 3, 1), dt(2023, 4, 1), spec="eur_stir1").kwargs
Out[4]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c7efcb0>

Euribor 3m

In [5]: defaults.spec["eur_stir3"]
Out[5]: 
{'frequency': 'q',
 'roll': 'imm',
 'eom': False,
 'modifier': 'mf',
 'calendar': 'tgt',
 'payment_lag': 0,
 'currency': 'eur',
 'convention': 'actacticma',
 'leg2_spread_compound_method': 'none_simple',
 'leg2_fixing_method': 'ibor(2)',
 'leg2_fixing_series': 'eur_ibor',
 'nominal': 1000000.0}

In [6]: STIRFuture(dt(2023, 3, 15), dt(2023, 6, 21), spec="eur_stir3").kwargs
Out[6]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c7eed50>

GBP

SONIA 3m

In [7]: defaults.spec["gbp_stir"]
Out[7]: 
{'frequency': 'q',
 'roll': 'imm',
 'eom': False,
 'modifier': 'mf',
 'calendar': 'ldn',
 'payment_lag': 0,
 'currency': 'gbp',
 'convention': 'actacticma',
 'leg2_spread_compound_method': 'none_simple',
 'leg2_fixing_method': 'rfr_payment_delay',
 'leg2_fixing_series': 'gbp_rfr',
 'nominal': 1000000.0}

In [8]: STIRFuture(dt(2023, 3, 15), dt(2023, 6, 21), spec="gbp_stir").kwargs
Out[8]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c77bb90>

USD

SOFR 3m

In [9]: defaults.spec["usd_stir"]
Out[9]: 
{'frequency': 'q',
 'roll': 'imm',
 'eom': False,
 'modifier': 'mf',
 'calendar': 'nyc',
 'payment_lag': 0,
 'currency': 'usd',
 'convention': 'actacticma',
 'leg2_spread_compound_method': 'none_simple',
 'leg2_fixing_method': 'rfr_payment_delay',
 'leg2_fixing_series': 'usd_rfr',
 'nominal': 1000000.0}

In [10]: STIRFuture(dt(2023, 3, 15), dt(2023, 6, 21), spec="usd_stir").kwargs
Out[10]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c77b7d0>

SOFR 1m Averaged

In [11]: defaults.spec["usd_stir1"]
Out[11]: 
{'frequency': 'm',
 'roll': 'som',
 'eom': False,
 'modifier': 'mf',
 'calendar': 'nyc',
 'payment_lag': 0,
 'currency': 'usd',
 'convention': 'actacticma',
 'leg2_spread_compound_method': 'none_simple',
 'leg2_fixing_method': 'rfr_payment_delay_avg',
 'leg2_fixing_series': 'usd_rfr',
 'nominal': 5000400.0}

In [12]: STIRFuture(dt(2023, 3, 1), dt(2023, 4, 1), spec="usd_stir1").kwargs
Out[12]: <rateslib.instruments.protocols.kwargs._KWArgs at 0x14c77ba10>