STIRFuture#

class rateslib.instruments.STIRFuture(*args, price=NoInput.blank, contracts=1, bp_value=NoInput.blank, nominal=NoInput.blank, leg2_float_spread=NoInput.blank, leg2_spread_compound_method=NoInput.blank, leg2_fixings=NoInput.blank, leg2_fixing_method=NoInput.blank, leg2_method_param=NoInput.blank, **kwargs)#

Bases: IRS

Create a short term interest rate (STIR) future.

Parameters:

args (dict) – Required positional args to BaseDerivative.
price (float) – The traded price of the future. Defined as 100 minus the fixed rate.
contracts (int) – The number of traded contracts.
bp_value (float.) – The value of 1bp on the contract as specified by the exchange, e.g. SOFR 3M futures are $25 per bp. This is not the same as tick value where the tick size can be different across different futures.
nominal (float) – The nominal value of the contract. E.g. SOFR 3M futures are $1mm. If not given will use the default notional.
fixed_rate (float or None) – The fixed rate applied to the FixedLeg. If None will be set to mid-market when curves are provided.
leg2_float_spread (float, optional) – The spread applied to the FloatLeg. Can be set to None and designated later, perhaps after a mid-market spread for all periods has been calculated.
leg2_spread_compound_method (str, optional) – The method to use for adding a floating spread to compounded rates. Available options are {“none_simple”, “isda_compounding”, “isda_flat_compounding”}.
leg2_fixings (float, list, or Series optional) – If a float scalar, will be applied as the determined fixing for the first period. If a list of n fixings will be used as the fixings for the first n periods. If any sublist of length m is given, is used as the first m RFR fixings for that FloatPeriod. If a datetime indexed Series will use the fixings that are available in that object, and derive the rest from the curve.
leg2_fixing_method (str, optional) – The method by which floating rates are determined, set by default. See notes.
leg2_method_param (int, optional) – A parameter that is used for the various fixing_method s. See notes.
kwargs (dict) – Required keyword arguments to BaseDerivative.

Examples

Construct a curve to price the example.

In [1]: usd = Curve(
   ...:     nodes={
   ...:         dt(2022, 1, 1): 1.0,
   ...:         dt(2023, 1, 1): 0.965,
   ...:         dt(2024, 1, 1): 0.94
   ...:     },
   ...:     id="usd_stir"
   ...: )
   ...: 

Create the STIRFuture, and demonstrate the rate(), npv(),

In [2]: stir = STIRFuture(
   ...:      effective=dt(2022, 3, 16),
   ...:      termination=dt(2022, 6, 15),
   ...:      spec="usd_stir",
   ...:      curves=usd,
   ...:      price=99.50,
   ...:      contracts=10,
   ...:  )
   ...: 

In [3]: stir.rate(metric="price")
Out[3]: 96.47043430109322

In [4]: stir.npv()
Out[4]: -75739.14247266948

Attributes Summary

`fixed_rate`	If set will also set the `fixed_rate` of the contained leg1.
`float_spread`	If set will also set the `float_spread` of contained leg1.
`index_base`	If set will also set the `index_base` of the contained leg1.
`leg2_fixed_rate`	If set will also set the `fixed_rate` of the contained leg2.
`leg2_float_spread`	If set will also set the `float_spread` of contained leg2.
`leg2_index_base`	If set will also set the `index_base` of the contained leg1.

Methods Summary

`analytic_delta`(args, *kwargs)	Return the analytic delta of the STIRFuture.
`cashflows`([curves, solver, fx, base])	Return the properties of all legs used in calculating cashflows.
`cashflows_table`([curves, solver, fx, base])
`delta`(args, *kwargs)	Calculate the delta of the Instrument.
`gamma`(args, *kwargs)	Calculate the gamma of the Instrument.
`npv`([curves, solver, fx, base, local])	Return the NPV of the derivative by summing legs.
`rate`([curves, solver, fx, base, metric])	Return the mid-market rate of the IRS.
`spread`()	Not implemented for STIRFuture.

Attributes Documentation

fixed_rate#

If set will also set the fixed_rate of the contained leg1.

Note

fixed_rate, float_spread, leg2_fixed_rate and leg2_float_spread are attributes only applicable to certain Instruments. 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 and leg2_index_base are attributes only applicable to certain Instruments. 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 and leg2_index_base are attributes only applicable to certain Instruments. AttributeErrors are raised if calling or setting these is invalid.

Type:: float or None

Methods Documentation

analytic_delta(*args, **kwargs)#

Return the analytic delta of the STIRFuture.

See BasePeriod.analytic_delta(). For STIRFuture this method requires no arguments.

cashflows(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#

Return the properties of all legs used in calculating cashflows.

See BaseDerivative.cashflows().

cashflows_table(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#

delta(*args, **kwargs)#

Calculate the delta of the Instrument.

For arguments see Sensitivities.delta().

gamma(*args, **kwargs)#

Calculate the gamma of the Instrument.

For arguments see Sensitivities.gamma().

npv(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False)#

Return the NPV of the derivative by summing legs.

See BaseDerivative.npv().

rate(curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, metric='rate')#

Return the mid-market rate of the IRS.

Parameters:

curves (Curve, str or list of such) –
A single Curve or id or a list of such. A list defines the following curves in the order:
- Forecasting Curve for floating leg.
- Discounting Curve for both legs.
solver (Solver, optional) –
The numerical Solver that constructs Curve from calibrating instruments.

Note

The arguments fx and base are unused by single currency derivatives rates calculations.
metric (str in {"rate", "price"}) – The calculation metric that will be returned.

Return type:

float, Dual or Dual2

Notes

The arguments fx and base are unused by single currency derivatives rates calculations.

spread()#: Not implemented for STIRFuture.