feat: SA-421 Add SDK support for RollingBondStrategy & SingleBondStra…

…tegy

examples/scripts/13_government_bonds.py

@@ -0,0 +1,36 @@
+import logging
+
+import sigtech.api as sig
+
+logging.basicConfig(level=logging.INFO)
+env = sig.init()
+
+
+# Create a strategy to buy a bond and reinvest coupons
+single_bond = sig.SingleBondStrategy(
+    currency="USD",
+    bond_name="US 2.25 2046/08/15 GOVT",  # US912810RT79
+)
+print(single_bond.history())
+print(single_bond.currency)
+print(single_bond.start_date)
+
+
+# Create a strategy to regularly buy bonds and reinvest coupons
+rolling_bond_strategy = sig.RollingBondStrategy(
+    country="US",
+    tenor="10Y",
+    start_date="2016-08-15",
+)
+print(rolling_bond_strategy.history())
+print(rolling_bond_strategy.currency)
+print(rolling_bond_strategy.tenor)
+print(rolling_bond_strategy.country)
+print(rolling_bond_strategy.start_date)
+
+df_portfolio_timeline = rolling_bond_strategy.plot.portfolio_table(
+    dts="ACTION_PTS",
+    unit_type="TRADE",
+    as_df=True,
+)
+print(df_portfolio_timeline)

sigtech/api/__init__.py

@@ -10,6 +10,10 @@
     ReinvestmentStrategy,
     get_single_stock_strategy,
 )
+from sigtech.api.framework.strategies.rolling_bond_strategy import (
+    RollingBondStrategy,
+    SingleBondStrategy,
+)
 from sigtech.api.framework.strategies.rolling_future_strategy import (
     RollingFutureStrategy,
 )
@@ -27,6 +31,8 @@
     "RollingFutureStrategy",
     "RollingFXForwardStrategy",
     "RollingSwapStrategy",
+    "SingleBondStrategy",
+    "RollingBondStrategy",
     "TradableTSIndex",
     "OISSwap",
     "InterestRateSwap",

sigtech/api/framework/strategies/rolling_bond_strategy.py

@@ -0,0 +1,99 @@
+import datetime as dtm
+from typing import Optional, Union
+
+from sigtech.api.client.response import Response
+from sigtech.api.framework.environment import env
+from sigtech.api.framework.strategies.strategy import Strategy
+
+
+class SingleBondStrategy(Strategy):
+    """
+    Strategy assigning weight to a single bond instrument and reinvesting bond coupons.
+
+    Keyword arguments:
+
+        * ``bond_name``: Name of bond to trade.
+
+    """
+
+    def __init__(
+        self,
+        bond_name: str,
+        currency: Optional[str] = None,  # QUANT-1537
+    ):
+        super().__init__(
+            currency=currency,
+            bond_name=bond_name,
+        )
+
+    def _get_strategy_obj(self, session_id: str, **inputs) -> Response:
+        """
+        Fetch rolling bond strategy from API.
+        """
+        api_inputs = {k: v for k, v in inputs.items() if v is not None}
+        api_inputs["identifier"] = api_inputs.pop("bond_name")
+        del api_inputs["currency"]
+        return env().client.strategies.bonds.reinvestment.create(
+            session_id=session_id,
+            **api_inputs,
+        )
+
+    @property
+    def currency(self) -> str:
+        return self._get_reference_data()["currency"]
+
+    @property
+    def start_date(self) -> str:
+        return self._get_reference_data()["startDate"]
+
+
+class RollingBondStrategy(Strategy):
+    """
+    Rolling bond strategy that rolls bonds.
+    Invests in the underlying bonds using SingleBondStrategy, coupons are reinvested.
+
+    Keyword arguments:
+
+        * ``country``: Two-letter country code, e.g. ``'US'`` or ``'GB'``.
+        * ``tenor``: Tenor string in ``'[xx]Y'`` format, e.g. ``'10Y'`` or ``'5Y'``.
+        * ``start_date``: Start date of the strategy.
+    """
+
+    def __init__(
+        self,
+        country: str,
+        tenor: str,
+        start_date: Optional[Union[str, dtm.date]] = None,
+    ):
+        start_date = str(start_date) if isinstance(start_date, dtm.date) else start_date
+        super().__init__(
+            country=country,
+            tenor=tenor,
+            start_date=start_date,
+        )
+
+    def _get_strategy_obj(self, session_id: str, **inputs) -> Response:
+        """
+        Fetch rolling bond strategy from API.
+        """
+        api_inputs = {k: v for k, v in inputs.items() if v is not None}
+        return env().client.strategies.bonds.rolling.create(
+            session_id=session_id,
+            **api_inputs,
+        )
+
+    @property
+    def currency(self) -> str:
+        return self._get_reference_data()["currency"]
+
+    @property
+    def tenor(self) -> str:
+        return self._get_reference_data()["tenor"]
+
+    @property
+    def country(self) -> str:
+        return self._get_reference_data()["country"]
+
+    @property
+    def start_date(self) -> str:
+        return self._get_reference_data()["startDate"]