API Reference

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Notation

\[\begin{split}d \quad \text{or} \quad d_i =& \text{DCF of period} \; (i) \\ m \quad \text{or} \quad m_i =& \text{Maturity date of period} \; (i) \\ v(m) =& \text{DF of period payment date,} \; m \\ N \quad \text{or} \quad N_i =& \text{Notional of period} \; (i) \\ R =& \text{Fixed rate of period or leg} \\ z =& \text{Floating period spread} \\ r(r_i, z) =& \text{Floating rate of period as a function of fixings,} \; (r_i) \\ C =& \text{Cashflow} \\ P =& \text{Net present value} \\ I(m) =& \text{Index ratio applicable at maturity,} \; m \\\end{split}\]

Defaults

Classes

Defaults()	The defaults object used by initialising objects.
Fixings()	Class to lazy load fixing data from CSV files.
NoInput(value[, names, module, qualname, ...])	Enumerable type to handle setting default values.

Calendars

Functions

add_tenor(start, tenor, modifier[, ...])	Add a tenor to a given date under specific modification rules and holiday calendar.
create_calendar(rules[, weekmask])	Create a calendar with specific business and holiday days defined.
dcf(start, end, convention[, termination, ...])	Calculate the day count fraction of a period.
get_calendar(calendar[, kind])	Returns a calendar object either from an available set or a user defined input.

Scheduling

Classes

Schedule(effective, termination, frequency)

Generate a schedule of dates according to a regular pattern and calendar inference.

Highlighted private functions

rateslib.scheduling._check_regular_swap(...)	Tests whether the given the parameters define a regular leg schedule without stubs.
rateslib.scheduling._infer_stub_date(...)	Attempts to infer either a front or back stub in an unspecified schedule.

Piecewise Polynomial Splines

Functions

bspldnev_single(x, i, k, t, m[, org_k])	Calculate the m th order derivative from the right of an indexed b-spline at x.
bsplev_single(x, i, k, t[, org_k])	Calculate the value of an indexed b-spline of the pp at the coordinate x.

Classes

PPSpline(k, t[, c])	Implements a data site instructed piecewise polynomial (pp) spline using b-splines.
PPSplineDual	alias of PPSpline
PPSplineDual2	alias of PPSpline
PPSplineF64	alias of PPSpline

Dual (for AD)

Functions

dual_exp(x)	Calculate the exponential value of a regular int or float or a dual number.
dual_log(x[, base])	Calculate the logarithm of a regular int or float or a dual number.
dual_solve(A, b[, allow_lsq])	Solve the linear system Ax=b.
gradient(dual[, vars, order, keep_manifold])	Return derivatives of a dual number.
set_order(val, order)	Changes the order of a Dual or Dual2 leaving floats and ints unchanged.
set_order_convert(val, order, tag)	Convert a float, Dual or Dual2 type to a specified alternate type.

Classes

Dual(real[, vars, dual])	Dual number data type to perform first derivative automatic differentiation.
Dual2(real[, vars, dual, dual2])	Dual number data type to perform second derivative automatic differentiation.
DualBase(real[, vars])	Base class for dual number implementation.

Class Inheritance Diagram

Curves

Functions

average_rate(effective, termination, ...)	Return the geometric, 1 calendar day, average rate for the rate in a period.
index_left(list_input, list_length, value[, ...])	Return the interval index of a value from an ordered input list on the left side.
interpolate(x, x_1, y_1, x_2, y_2, interpolation)	Perform local interpolation between two data points.

Classes

CompositeCurve(curves[, id])	A dynamic composition of a sequence of other curves.
Curve(nodes, *[, interpolation, t, c, ...])	Curve based on DF parametrisation at given node dates with interpolation.
IndexCurve(*args[, index_base, index_lag])	A subclass of Curve with an index_base value for index calculations.
LineCurve(*args, **kwargs)	Curve based on value parametrisation at given node dates with interpolation.
MultiCsaCurve(curves[, id, ...])	A dynamic composition of a sequence of other curves.
PPSplineDual	alias of PPSpline
PPSplineDual2	alias of PPSpline
PPSplineF64	alias of PPSpline
ProxyCurve(cashflow, collateral, fx_forwards)	A subclass of Curve which returns dynamic DFs based on other curves related via FXForwards parity.

Class Inheritance Diagram

FX

Functions

forward_fx(date, curve_domestic, ...[, ...])

Return a forward FX rate based on interest rate parity.

Classes

FXForwards(fx_rates, fx_curves[, base])	Class for storing and calculating FX forward rates.
FXRates(fx_rates[, settlement, base])	Object to store and calculate FX rates for a consistent settlement date.

Periods

Link to the Periods section in the user guide.

Classes

BasePeriod(start, end, payment, frequency[, ...])	Abstract base class with common parameters for all Period subclasses.
Cashflow(notional, payment[, currency, ...])	Create a single cashflow amount on a payment date (effectively a CustomPeriod).
FixedPeriod(*args[, fixed_rate])	Create a period defined with a fixed rate.
FloatPeriod(*args[, float_spread, fixings, ...])	Create a period defined with a floating rate index.
IndexCashflow(*args, index_base[, ...])	Create a cashflow defined with a real rate adjusted by an index.
IndexFixedPeriod(*args[, index_base, ...])	Create a period defined with a real rate adjusted by an index.
IndexMixin()	Abstract base class to include methods and properties related to indexed Periods.

Class Inheritance Diagram

Legs

Link to the Legs section in the user guide.

Classes

BaseLeg(effective, termination, frequency, *)	Abstract base class with common parameters for all Leg subclasses.
BaseLegMtm(*args[, fx_fixings, ...])	Abstract base class with common parameters for all LegMtm subclasses.
CustomLeg(periods)	Create a leg contained of user specified Periods.
FixedLeg(*args[, fixed_rate])	Create a fixed leg composed of FixedPeriod s.
FixedLegMixin()	Add the functionality to add and retrieve fixed_rate on FixedPeriod s.
FixedLegMtm(*args[, fixed_rate])	Create a leg of FixedPeriod s and initial, mtm and final Cashflow s.
FloatLeg(*args[, float_spread, fixings, ...])	Create a floating leg composed of FloatPeriod s.
FloatLegMixin()	Add the functionality to add and retrieve float_spread on FloatPeriod s and a fixings_table().
FloatLegMtm(*args[, float_spread, fixings, ...])	Create a leg of FloatPeriod s and initial, mtm and final Cashflow s.
IndexFixedLeg(*args, index_base[, ...])	Create a leg of IndexFixedPeriod s and initial and final IndexCashflow s.
IndexLegMixin()
ZeroFixedLeg(*args[, fixed_rate])	Create a zero coupon fixed leg composed of a single FixedPeriod .
ZeroFloatLeg(*args[, float_spread, fixings, ...])	Create a zero coupon floating leg composed of FloatPeriod s.
ZeroIndexLeg(*args[, index_base, ...])	Create a zero coupon index leg composed of a single IndexFixedPeriod and a Cashflow.

Class Inheritance Diagram

Instruments

Classes

BaseDerivative([effective, termination, ...])	Abstract base class with common parameters for many Derivative subclasses.
BaseMixin()
Bill([effective, termination, modifier, ...])	Create a discount security.
BondFuture(coupon, delivery, basket[, ...])	Create a bond future derivative.
BondMixin()
FRA([effective, termination, frequency, ...])	Create a forward rate agreement composing single period FixedLeg and FloatLeg valued in a customised manner.
FXExchange(settlement, currency, leg2_currency)	Create a simple exchange of two currencies.
FXSwap(*args[, fx_fixings, points, ...])	Create an FX swap simulated via a Fixed-Fixed XCS.
FixedRateBond([effective, termination, ...])	Create a fixed rate bond security.
FloatRateNote([effective, termination, ...])	Create a floating rate note (FRN) security.
Fly(instrument1, instrument2, instrument3)	A butterfly instrument which is, mechanically, the spread of two spread instruments.
IIRS(*args[, fixed_rate, index_base, ...])	Create an indexed interest rate swap (IIRS) composing an IndexFixedLeg and a FloatLeg.
IRS(*args[, fixed_rate, leg2_float_spread, ...])	Create an interest rate swap composing a FixedLeg and a FloatLeg.
IndexFixedRateBond([effective, termination, ...])	Create an indexed fixed rate bond security.
Portfolio(instruments)	Create a collection of Instruments to group metrics
SBS(*args[, float_spread, ...])	Create a single currency basis swap composing two FloatLeg s.
STIRFuture(*args[, price, contracts, ...])	Create a short term interest rate (STIR) future.
Sensitivities()	Base class to add risk sensitivity calculations to an object with an npv() method.
Spread(instrument1, instrument2)	A spread instrument defined as the difference in rate between two Instruments.
Value(effective[, convention, metric, curves])	A null Instrument which can be used within a Solver to directly parametrise a Curve node, via some calculated value.
XCS(*args[, fixed, payment_lag_exchange, ...])	Create a cross-currency swap (XCS) composing relevant fixed or floating Legs.
ZCIS(*args[, fixed_rate, leg2_index_base, ...])	Create a zero coupon index swap (ZCIS) composing an ZeroFixedLeg and a ZeroIndexLeg.
ZCS(*args[, fixed_rate, leg2_float_spread, ...])	Create a zero coupon swap (ZCS) composing a ZeroFixedLeg and a ZeroFloatLeg.

Class Inheritance Diagram

Solver

Classes

Gradients()	A catalogue of all the gradients used in optimisation routines and risk sensitivties.
Solver([curves, instruments, s, weights, ...])	A numerical solver to determine node values on multiple curves simultaneously.

Class Inheritance Diagram

Cookbook

• Replicating a SOFR Curve & Swap from Bloomberg’s SWPM
• Solving Curves with a Dependency Chain
• How to Handle Turns in Rateslib
• Pricing IBOR Interpolated Stub Periods
• Building a Risk Framework Including STIR Convexity Adjustments
• Exploring Bond Basis and Bond Futures DV01
• Bond Future CTD Multi-Scenario Analysis
• Working with Fixings
• Comparing Curve Building and Instrument Pricing with QuantLib