Utilities and Instrument Combinations#

Combinations allow common interbank traded structures to be created, and Value is a null object typically used to directly parametrize a Curve via a Solver

Inheritance diagram of rateslib.instruments.Fly, rateslib.instruments.Spread, rateslib.instruments.Value, rateslib.instruments.Portfolio

rateslib.instruments.Value(effective[, ...])

A null Instrument which can be used within a Solver to directly parametrise a Curve node, via some calculated value.

rateslib.instruments.Spread(instrument1, ...)

A spread instrument defined as the difference in rate between two Instruments.

rateslib.instruments.Fly(instrument1, ...)

A butterfly instrument which is, mechanically, the spread of two spread instruments.

rateslib.instruments.Portfolio(instruments)

Create a collection of Instruments to group metrics