Instruments

The following groups outline the different Instrument types offered by rateslib. The common methods which all Instruments strive to possess are rate(), npv(), analytic_delta(), delta(), gamma(), cashflows() and cashflows_table().

Securities

Link to the section on securities, which comprise Bonds, Bills and Bond Futures.

Single Currency Derivatives

Link to the section on single currency derivatives, giving objects like IRSs, SBSs, ZCISs and ZCSs etc.

Multi-Currency Derivatives

Link to the section on multi-currency derivatives. This allows FXSwaps, Cross-Currency Swaps and FX Exchanges.

Volatility

Link to the section on FX volatility products. This allows FXCall, FXPut and FXRiskReversal instruments.

Utilities and Instrument Combinations

Link to the section on utilities and instrument combinations. This allows things like Spread trades, Butterflies, Portfolios and a Value for a Curve.