RFRFixing#

class rateslib.data.fixings.RFRFixing(*, rate_index, accrual_start, accrual_end, fixing_method, method_param, spread_compound_method, float_spread, value=NoInput.blank, identifier=NoInput.blank)#

Bases: _BaseFixing

A rate fixing value representing an RFR type calculating involving multiple RFR publications.

Parameters:

rate_index (FloatRateIndex) – The parameters associated with the floating rate index.
accrual_start (datetime) – The start accrual date for the period.
accrual_end (datetime) – The end accrual date for the period.
value (float, Dual, Dual2, Variable, optional) – The initial value for the fixing to adopt. Most commonly this is not given and it is determined from a timeseries of published FX rates.
identifier (str, optional) – The string name of the timeseries to be loaded by the Fixings object. For alignment with internal structuring these should have the suffix “_1B”, e.g. “ESTR_1B”.
fixing_method (FloatFixingMethod or str) – The FloatFixingMethod object used to combine multiple RFR fixings.
method_param (int) – A parameter required by the fixing_method.
spread_compound_method (SpreadCompoundMethod or str) – A SpreadCompoundMethod object used define the calculation of the addition of the float_spread.
float_spread (float, DUal, Dual2, Variable) – An additional amount added to the calculation to determine the final period rate.

Examples

The below is a fully determined RFRFixing with populated rates.

In [1]: fixings.add("SOFR_1B", Series(index=[
   ...:      dt(2025, 1, 8), dt(2025, 1, 9), dt(2025, 1, 10), dt(2025, 1, 13), dt(2025, 1, 14)
   ...:    ], data=[1.1, 2.2, 3.3, 4.4, 5.5]))
   ...: 

In [2]: rfr_fix = RFRFixing(
   ...:     accrual_start=dt(2025, 1, 9),
   ...:     accrual_end=dt(2025, 1, 15),
   ...:     identifier="SOFR_1B",
   ...:     spread_compound_method=SpreadCompoundMethod.NoneSimple,
   ...:     fixing_method=FloatFixingMethod.RFRPaymentDelay,
   ...:     method_param=0,
   ...:     float_spread=0.0,
   ...:     rate_index=FloatRateIndex(frequency="1B", series="usd_rfr")
   ...: )
   ...: 

In [3]: rfr_fix.value
Out[3]: np.float64(3.6674341857576565)

In [4]: rfr_fix.populated
Out[4]: 
2025-01-09    2.2
2025-01-10    3.3
2025-01-13    4.4
2025-01-14    5.5
dtype: object

This second example is a partly undetermined period, and will result in NoInput for its value but has recorded partial population of its individual RFRs.

In [5]: rfr_fix2 = RFRFixing(
   ...:     accrual_start=dt(2025, 1, 9),
   ...:     accrual_end=dt(2025, 1, 21),
   ...:     identifier="SOFR_1B",
   ...:     spread_compound_method="NoneSimple",
   ...:     fixing_method="RFRPaymentDelay",
   ...:     method_param=0,
   ...:     float_spread=0.0,
   ...:     rate_index=FloatRateIndex(frequency="1B", series="usd_rfr")
   ...: )
   ...: 

In [6]: rfr_fix2.value
Out[6]: <NoInput.blank: 0>

In [7]: rfr_fix2.populated
Out[7]: 
2025-01-09    2.2
2025-01-10    3.3
2025-01-13    4.4
2025-01-14    5.5
dtype: object

Attributes Summary

`accrual_end`	The accrual end date for the underlying float rate period.
`accrual_start`	The accrual start date for the underlying float rate period.
`bounds`	The fixing method adjusted start and end dates for the observation dates and the dcf dates.
`date`	The date of relevance for the fixing, e.g. the publication date of an IBORFixing.
`dates_dcf`	A sequence of dates defining the individual DCF dates for the period.
`dates_obs`	A sequence of dates defining the individual observation rates for the period.
`dcfs_dcf`	A sequence of floats defining the individual DCF values associated with the DCF dates natural to the fixing rates.
`dcfs_obs`	A sequence of floats defining the individual DCF values associated with the method's observation dates.
`fixing_method`	The `FloatFixingMethod` object used to combine multiple RFR fixings.
`float_spread`	The spread value incorporated into the fixing calculation using the compound method.
`identifier`	The string name of the timeseries to be loaded by the Fixings object.
`method_param`	A parameter required by the `fixing_method`.
`populated`	The looked up fixings as part of the calculation after a `value` calculation.
`rate_index`	The `FloatRateIndex` defining the parameters of the RFR interest rate index.
`spread_compound_method`	A `SpreadCompoundMethod` object used define the calculation of the addition of the `float_spread`.
`unpopulated`	The fixings that are not published but are required to determine the period fixing.
`value`	The fixing value.

Methods Summary

reset([state])

Sets the value attribute to NoInput, which allows it to be redetermined from a timeseries.

Attributes Documentation

accrual_end#: The accrual end date for the underlying float rate period.

accrual_start#: The accrual start date for the underlying float rate period.

bounds#: The fixing method adjusted start and end dates for the observation dates and the dcf dates.

date#: The date of relevance for the fixing, e.g. the publication date of an IBORFixing.

dates_dcf#: A sequence of dates defining the individual DCF dates for the period.

dates_obs#: A sequence of dates defining the individual observation rates for the period.

dcfs_dcf#: A sequence of floats defining the individual DCF values associated with the DCF dates natural to the fixing rates.

dcfs_obs#: A sequence of floats defining the individual DCF values associated with the method’s observation dates.

fixing_method#: The FloatFixingMethod object used to combine multiple RFR fixings.

float_spread#: The spread value incorporated into the fixing calculation using the compound method.

identifier#: The string name of the timeseries to be loaded by the Fixings object.

method_param#: A parameter required by the fixing_method.

populated#: The looked up fixings as part of the calculation after a value calculation.

rate_index#: The FloatRateIndex defining the parameters of the RFR interest rate index.

spread_compound_method#: A SpreadCompoundMethod object used define the calculation of the addition of the float_spread.

unpopulated#: The fixings that are not published but are required to determine the period fixing.

value#

Methods Documentation

reset(state=NoInput.blank)#

Sets the value attribute to NoInput, which allows it to be redetermined from a timeseries.

Examples

In [1]: fx_fixing1 = FXFixing(publication=dt(2021, 1, 1), fx_index="eurusd", identifier="A")

In [2]: fx_fixing2 = FXFixing(publication=dt(2021, 1, 1), fx_index="gbpusd", identifier="B")

In [3]: fixings.add("A_eurusd", Series(index=[dt(2021, 1, 1)], data=[1.1]), state=100)

In [4]: fixings.add("B_gbpusd", Series(index=[dt(2021, 1, 1)], data=[1.4]), state=200)

# data is populated from the available Series
In [5]: fx_fixing1.value
Out[5]: np.float64(1.1)

In [6]: fx_fixing2.value
Out[6]: np.float64(1.4)

# fixings are reset according to the data state
In [7]: fx_fixing1.reset(state=100)

In [8]: fx_fixing2.reset(state=100)

# only the private data for fixing1 is removed because of its link to the data state
In [9]: fx_fixing1._value
Out[9]: <NoInput.blank: 0>

In [10]: fx_fixing2._value
Out[10]: np.float64(1.4)

Parameters:: state (int, optional) – If given only fixings whose state matches this value will be reset. If no state is given then the value will be reset.
Return type:: None

RFRFixing#

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