BaseMixin#
- class rateslib.instruments.BaseMixin#
Bases:
object
Attributes Summary
If set will also set the
fixed_rate
of the contained leg1.If set will also set the
float_spread
of contained leg1.If set will also set the
index_base
of the contained leg1.If set will also set the
fixed_rate
of the contained leg2.If set will also set the
float_spread
of contained leg2.If set will also set the
index_base
of the contained leg1.Methods Summary
analytic_delta
(*args[, leg])Return the analytic delta of a leg of the derivative object.
cashflows
([curves, solver, fx, base])Return the properties of all legs used in calculating cashflows.
npv
([curves, solver, fx, base, local])Return the NPV of the derivative object by summing legs.
rate
(*args, **kwargs)Return the rate or typical price for a derivative instrument.
Attributes Documentation
- fixed_rate#
If set will also set the
fixed_rate
of the contained leg1.Note
fixed_rate
,float_spread
,leg2_fixed_rate
andleg2_float_spread
are attributes only applicable to certainInstruments
. AttributeErrors are raised if calling or setting these is invalid.- Type:
float or None
- float_spread#
If set will also set the
float_spread
of contained leg1.- Type:
float or None
- index_base#
If set will also set the
index_base
of the contained leg1.Note
index_base
andleg2_index_base
are attributes only applicable to certainInstruments
. AttributeErrors are raised if calling or setting these is invalid.- Type:
float or None
- leg2_fixed_rate#
If set will also set the
fixed_rate
of the contained leg2.- Type:
float or None
- leg2_float_spread#
If set will also set the
float_spread
of contained leg2.- Type:
float or None
- leg2_index_base#
If set will also set the
index_base
of the contained leg1.Note
index_base
andleg2_index_base
are attributes only applicable to certainInstruments
. AttributeErrors are raised if calling or setting these is invalid.- Type:
float or None
Methods Documentation
- abstract analytic_delta(*args, leg=1, **kwargs)#
Return the analytic delta of a leg of the derivative object.
- Parameters:
args – Required positional arguments supplied to
BaseLeg.analytic_delta
.leg (int in [1, 2]) – The leg identifier of which to take the analytic delta.
kwargs – Required Keyword arguments supplied to
BaseLeg.analytic_delta()
.
- Return type:
Examples
In [4]: curve = Curve({dt(2021,1,1): 1.00, dt(2025,1,1): 0.83}, id="SONIA") In [5]: fxr = FXRates({"gbpusd": 1.25}, base="usd")
In [6]: irs = IRS( ...: effective=dt(2022, 1, 1), ...: termination="6M", ...: frequency="Q", ...: currency="gbp", ...: notional=1e9, ...: fixed_rate=5.0, ...: ) ...: In [7]: irs.analytic_delta(curve, curve) Out[7]: 47156.00216054951 In [8]: irs.analytic_delta(curve, curve, fxr) Out[8]: <Dual: 58945.002701, (fx_gbpusd), [47156.0]> In [9]: irs.analytic_delta(curve, curve, fxr, "gbp") Out[9]: 47156.00216054951
- abstract cashflows(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#
Return the properties of all legs used in calculating cashflows.
- Parameters:
curves (CurveType, str or list of such, optional) –
A single
Curve
,LineCurve
or id or a list of such. A list defines the following curves in the order:solver (Solver, optional) – The numerical
Solver
that constructsCurves
from calibrating instruments.fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a
FXRates
orFXForwards
object, converts from local currency intobase
.base (str, optional) – The base currency to convert cashflows into (3-digit code). Only used if
fx
is anFXRates
orFXForwards
object. If not given defaults tofx.base
.
- Return type:
DataFrame
Notes
If only one curve is given this is used as all four curves.
If two curves are given the forecasting curve is used as the forecasting curve on both legs and the discounting curve is used as the discounting curve for both legs.
If three curves are given the single discounting curve is used as the discounting curve for both legs.
Examples
In [10]: irs.cashflows([curve], fx=fxr) Out[10]: Type Period Ccy Acc Start Acc End Payment Convention DCF Notional DF Collateral Rate Spread Cashflow NPV FX Rate NPV Ccy leg1 0 FixedPeriod Regular GBP 2022-01-01 2022-04-01 2022-04-03 ACT360 0.25 1000000000.00 0.94 None 5.00 NaN -12500000.00 -11792277.34 1.25 -14740346.67 1 FixedPeriod Regular GBP 2022-04-01 2022-07-01 2022-07-03 ACT360 0.25 1000000000.00 0.93 None 5.00 NaN -12638888.89 -11785723.74 1.25 -14732154.68 leg2 0 FloatPeriod Regular GBP 2022-01-01 2022-04-01 2022-04-03 ACT360 0.25 -1000000000.00 0.94 None 4.62 0.00 11544335.50 10890720.47 1.25 13613400.59 1 FloatPeriod Regular GBP 2022-04-01 2022-07-01 2022-07-03 ACT360 0.25 -1000000000.00 0.93 None 4.62 0.00 11673351.69 10885363.37 1.25 13606704.21
- abstract npv(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False)#
Return the NPV of the derivative object by summing legs.
- Parameters:
curves (Curve, LineCurve, str or list of such) –
A single
Curve
,LineCurve
or id or a list of such. A list defines the following curves in the order:solver (Solver, optional) – The numerical
Solver
that constructsCurves
from calibrating instruments.fx (float, FXRates, FXForwards, optional) – The immediate settlement FX rate that will be used to convert values into another currency. A given float is used directly. If giving a
FXRates
orFXForwards
object, converts from local currency intobase
.base (str, optional) – The base currency to convert cashflows into (3-digit code). Only used if
fx
is anFXRates
orFXForwards
object. If not given defaults tofx.base
.local (bool, optional) – If True will return a dict identifying NPV by local currencies on each leg. Useful for multi-currency derivatives and for ensuring risk sensitivities are allocated to local currencies without conversion.
- Return type:
Notes
If only one curve is given this is used as all four curves.
If two curves are given the forecasting curve is used as the forecasting curve on both legs and the discounting curve is used as the discounting curve for both legs.
If three curves are given the single discounting curve is used as the discounting curve for both legs.
Examples
In [11]: irs.npv(curve) Out[11]: -1801917.2427669652 In [12]: irs.npv([curve], fx=fxr) Out[12]: <Dual: -2252396.553459, (fx_gbpusd), [-1801917.2]> In [13]: irs.npv([curve], fx=fxr, base="gbp") Out[13]: -1801917.2427669652