ZeroIndexLeg#

class rateslib.legs.ZeroIndexLeg(*args, index_base=NoInput.blank, index_fixings=NoInput.blank, index_method=NoInput.blank, index_lag=NoInput.blank, **kwargs)#

Bases: BaseLeg, IndexLegMixin

Create a zero coupon index leg composed of a single IndexFixedPeriod and a Cashflow.

Parameters:

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

  • index_base (float or None, optional) – The base index applied to all periods.

  • index_fixings (float, or Series, optional) – If a float scalar, will be applied as the index fixing for the first period. If a list of n fixings will be used as the index fixings for the first n periods. If a datetime indexed Series will use the fixings that are available in that object, and derive the rest from the curve.

  • index_method (str) – Whether the indexing uses a daily measure for settlement or the most recently monthly data taken from the first day of month.

  • index_lag (int, optional) – The number of months by which the index value is lagged. Used to ensure consistency between curves and forecast values. Defined by default.

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

Notes

Warning

Setting convention for a ZeroIndexLeg has no effect because the determination of the cashflow within the IndexFixedPeriod will always have a DCF of 1.0.

The fixed rate of the IndexFixedPeriod is set to 100% to index up the complete the notional. The offsetting Cashflow deducts the real notional.

The NPV of a ZeroIndexLeg is the sum of the period NPVs.

\[P = - v(m_n) N \left ( I(m_n) - 1 \right )\]

The analytic delta is defined as zero due to the lack of rates related attributes.

\[A = 0\]

Examples

In [1]: index_curve = IndexCurve({dt(2022, 1, 1): 1.0, dt(2027, 1, 1): 0.95}, index_base=100.0)

In [2]: zil = ZeroIndexLeg(
   ...:     effective=dt(2022, 1, 15),
   ...:     termination="3Y",
   ...:     frequency="S",
   ...:     index_method="monthly",
   ...:     index_base=100.25,
   ...: )
   ...: 

In [3]: zil.cashflows(index_curve, curve)
Out[3]: 
           Type Period  Ccy  Acc Start    Acc End    Payment Convention  DCF   Notional   DF Collateral   Rate Spread  Real Cashflow  Index Base  Index Val  Index Ratio  Cashflow       NPV  FX Rate   NPV Ccy
0  ZeroIndexLeg   None  USD 2022-01-15 2025-01-15 2025-01-17          1 1.00 1000000.00 0.94       None 100.00   None    -1000000.00      100.25     103.16         1.03 -29017.93 -27285.76     1.00 -27285.76

Methods Summary

analytic_delta(*args, **kwargs)

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

cashflow([curve])

Aggregate the cashflows on the IndexFixedPeriod and Cashflow period using an IndexCurve.

cashflows(*args, **kwargs)

Return the properties of the ZeroIndexLeg used in calculating cashflows.

npv(*args, **kwargs)

Return the NPV of the ZeroIndexLeg via summing all periods.

Methods Documentation

analytic_delta(*args, **kwargs)#

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

For arguments see BasePeriod.analytic_delta().

cashflow(curve=None)#

Aggregate the cashflows on the IndexFixedPeriod and Cashflow period using an IndexCurve.

cashflows(*args, **kwargs)#

Return the properties of the ZeroIndexLeg used in calculating cashflows.

For arguments see BasePeriod.cashflows().

npv(*args, **kwargs)#

Return the NPV of the ZeroIndexLeg via summing all periods.

For arguments see BasePeriod.npv().