FixedLeg#

class rateslib.legs.FixedLeg(*args, fixed_rate=NoInput.blank, **kwargs)#

Bases: BaseLeg, FixedLegMixin

Create a fixed leg composed of FixedPeriod s.

Parameters:

  • args (tuple) – Required positional args to BaseLeg.

  • fixed_rate (float, optional) – The rate applied to determine cashflows in % (i.e 5.0 = 5%). Can be left unset and designated later, perhaps after a mid-market rate for all periods has been calculated.

  • kwargs (dict) – Required keyword arguments to BaseLeg.

Notes

The NPV of a fixed leg is the sum of the period NPVs.

\[P = \underbrace{- R \sum_{i=1}^n {N_i d_i v_i(m_i)}}_{\text{regular flows}} \underbrace{+ N_1 v(m_0) - \sum_{i=1}^{n-1}v(m_i)(N_{i}-N_{i+1}) - N_n v(m_n)}_{\text{exchange flows}}\]

The analytic delta is the sum of the period analytic deltas.

\[A = -\frac{\partial P}{\partial R} = \sum_{i=1}^n {N_i d_i v_i(m_i)}\]

Examples

In [1]: curve = Curve({dt(2022, 1, 1): 1.0, dt(2023, 1, 1): 0.98})

In [2]: fixed_leg_exch = FixedLeg(
   ...:     dt(2022, 1, 1), "9M", "Q",
   ...:     fixed_rate=2.0,
   ...:     notional=1000000,
   ...:     amortization=200000,
   ...:     initial_exchange=True,
   ...:     final_exchange=True,
   ...: )
   ...: 

In [3]: fixed_leg_exch.cashflows(curve)
Out[3]: 
          Type        Period  Ccy  Acc Start    Acc End    Payment Convention  DCF    Notional   DF  Rate Spread   Cashflow        NPV  FX Rate    NPV Ccy Collateral
0     Cashflow      Exchange  USD        NaT        NaT 2022-01-01       None  NaN -1000000.00 1.00   NaN   None 1000000.00 1000000.00     1.00 1000000.00       None
1  FixedPeriod       Regular  USD 2022-01-01 2022-04-01 2022-04-03     ACT360 0.25  1000000.00 0.99  2.00   None   -5000.00   -4974.60     1.00   -4974.60       None
2     Cashflow  Amortization  USD        NaT        NaT 2022-04-01       None  NaN   200000.00 1.00   NaN   None -200000.00 -199006.18     1.00 -199006.18       None
3  FixedPeriod       Regular  USD 2022-04-01 2022-07-01 2022-07-03     ACT360 0.25   800000.00 0.99  2.00   None   -4044.44   -4003.68     1.00   -4003.68       None
4     Cashflow  Amortization  USD        NaT        NaT 2022-07-01       None  NaN   200000.00 0.99   NaN   None -200000.00 -198006.34     1.00 -198006.34       None
5  FixedPeriod       Regular  USD 2022-07-01 2022-10-01 2022-10-03     ACT360 0.26   600000.00 0.98  2.00   None   -3066.67   -3020.34     1.00   -3020.34       None
6     Cashflow      Exchange  USD        NaT        NaT 2022-10-01       None  NaN   600000.00 0.99   NaN   None -600000.00 -591001.84     1.00 -591001.84       None

In [4]: fixed_leg_exch.npv(curve)
Out[4]: -12.99118747760076

Methods Summary

analytic_delta(*args, **kwargs)

Return the analytic delta of the FixedLeg via summing all periods.

cashflows(*args, **kwargs)

Return the properties of the FixedLeg used in calculating cashflows.

npv(*args, **kwargs)

Return the NPV of the FixedLeg via summing all periods.

Methods Documentation

analytic_delta(*args, **kwargs)#

Return the analytic delta of the FixedLeg via summing all periods.

For arguments see BasePeriod.analytic_delta().

cashflows(*args, **kwargs)#

Return the properties of the FixedLeg used in calculating cashflows.

For arguments see BasePeriod.cashflows().

npv(*args, **kwargs)#

Return the NPV of the FixedLeg via summing all periods.

For arguments see BasePeriod.npv().