Single Currency Derivatives#

Single currency derivatives are examples of the simplest two-leg structures.

Inheritance diagram of rateslib.instruments.IRS, rateslib.instruments.FRA, rateslib.instruments.SBS, rateslib.instruments.ZCIS, rateslib.instruments.ZCS, rateslib.instruments.IIRS, rateslib.instruments.STIRFuture

rateslib.instruments.BaseDerivative([...])

Abstract base class with common parameters for many Derivative subclasses.

rateslib.instruments.IRS(*args[, ...])

Create an interest rate swap composing a FixedLeg and a FloatLeg.

rateslib.instruments.SBS(*args[, ...])

Create a single currency basis swap composing two FloatLeg s.

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

Create a forward rate agreement composing single period FixedLeg and FloatLeg valued in a customised manner.

rateslib.instruments.ZCS(*args[, ...])

Create a zero coupon swap (ZCS) composing a ZeroFixedLeg and a ZeroFloatLeg.

rateslib.instruments.ZCIS(*args[, ...])

Create a zero coupon index swap (ZCIS) composing an ZeroFixedLeg and a ZeroIndexLeg.

rateslib.instruments.IIRS(*args[, ...])

Create an indexed interest rate swap (IIRS) composing an IndexFixedLeg and a FloatLeg.

rateslib.instruments.STIRFuture(*args[, ...])

Create a short term interest rate (STIR) future.