Portfolio#

class rateslib.instruments.Portfolio(instruments)#

Bases: _BaseInstrument

A collection of _BaseInstrument.

Examples

The following initialises a Portfolio of IRSs.

In [1]: pf = Portfolio(instruments=[
   ...:     IRS(dt(2000, 1, 1), "1y", notional=10e3, spec="eur_irs", curves=["estr"]),
   ...:     IRS(dt(2000, 1, 1), "2y", notional=10e3, spec="eur_irs", curves=["estr"]),
   ...:     IRS(dt(2000, 1, 1), "3y", notional=10e3, spec="eur_irs", curves=["estr"]),
   ...: ])
   ...: 

In [2]: pf.cashflows()
Out[2]: 
                     Type  Ccy    Payment  Notional   Period Convention       DCF  Acc Start    Acc End    DF Cashflow   NPV  FX Rate Base Ccy NPV Ccy Collateral  Rate  Spread
inst0 leg1 0  FixedPeriod  EUR 2001-01-03   10000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None     None  None      1.0      EUR    None       None  None     NaN
      leg2 0  FloatPeriod  EUR 2001-01-03  -10000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None     None  None      1.0      EUR    None       None  None     0.0
inst1 leg1 0  FixedPeriod  EUR 2001-01-03   10000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None     None  None      1.0      EUR    None       None  None     NaN
           1  FixedPeriod  EUR 2002-01-03   10000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None     None  None      1.0      EUR    None       None  None     NaN
      leg2 0  FloatPeriod  EUR 2001-01-03  -10000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None     None  None      1.0      EUR    None       None  None     0.0
           1  FloatPeriod  EUR 2002-01-03  -10000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None     None  None      1.0      EUR    None       None  None     0.0
inst2 leg1 0  FixedPeriod  EUR 2001-01-03   10000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None     None  None      1.0      EUR    None       None  None     NaN
           1  FixedPeriod  EUR 2002-01-03   10000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None     None  None      1.0      EUR    None       None  None     NaN
           2  FixedPeriod  EUR 2003-01-03   10000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  None     None  None      1.0      EUR    None       None  None     NaN
      leg2 0  FloatPeriod  EUR 2001-01-03  -10000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None     None  None      1.0      EUR    None       None  None     0.0
           1  FloatPeriod  EUR 2002-01-03  -10000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None     None  None      1.0      EUR    None       None  None     0.0
           2  FloatPeriod  EUR 2003-01-03  -10000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  None     None  None      1.0      EUR    None       None  None     0.0

Pricing

Each _BaseInstrument should have its own curves and vol objects set at its initialisation, according to the documentation for that Instrument. For the pricing methods curves and vol objects, these can be universally passed to each Instrument but in many cases that would be technically impossible since each Instrument might require difference pricing objects, e.g. if the Instruments have difference currencies. For a Portfolio of three IRS in the same currency this would be possible, however.

Parameters:

instruments (list of _BaseInstrument) – The collection of Instruments.

Notes

A Portfolio is just a container for multiple _BaseInstrument. There is no concept of a rate().

Attributes Summary

instruments

The Instruments contained within the Portfolio.

kwargs

The _KWArgs container for the Instrument.

rate_scalar

A scaling quantity associated with the Solver risk calculations.

settlement_params

The default _SettlementParams of the Instrument.

Methods Summary

analytic_delta(*args, **kwargs)

Calculate the analytic rate delta of a Leg of the Instrument.

cashflows(*[, curves, solver, fx, vol, ...])

Return aggregated cashflow data for the Instrument.

cashflows_table(*[, curves, solver, fx, ...])

Aggregate the values derived from a cashflows(), grouped by date, settlement currency and collateral.

delta(*[, curves, solver, fx, vol, base, ...])

Calculate delta risk of an Instrument against the calibrating instruments in a Solver.

exo_delta(*[, curves, solver, fx, vol, ...])

Calculate delta risk of an Instrument against some exogenous user created Variables, via a Solver.

gamma(*[, curves, solver, fx, vol, base, ...])

Calculate cross-gamma risk of an Instrument against the calibrating instruments of a Solver.

local_analytic_rate_fixings(*[, curves, ...])

Calculate the sensitivity to rate fixings of the Instrument, expressed in local settlement currency per basis point.

local_fixings(identifiers[, scalars, ...])

Calculate the sensitivity to fixings of the Instrument, expressed in local settlement currency.

npv(*[, curves, solver, fx, vol, base, ...])

Return the NPV of the Portfolio by summing individual Instrument NPVs.

rate(*args, **kwargs)

Calculate some pricing rate metric for the Instrument.

reset_fixings([state])

Resets any fixings values of the Instrument derived using the given data state.

spread(*[, curves, solver, fx, vol, base, ...])

Calculate some pricing spread metric for the Instrument.

Attributes Documentation

instruments#

The Instruments contained within the Portfolio.

kwargs#

The _KWArgs container for the Instrument.

rate_scalar#

A scaling quantity associated with the Solver risk calculations.

settlement_params#

The default _SettlementParams of the Instrument.

This is used to define a base currency when one is not specified.

Methods Documentation

analytic_delta(*args, **kwargs)#

Calculate the analytic rate delta of a Leg of the Instrument.

Examples

In [1]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [2]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", fixed_rate=1.0, curves=[curve])

In [3]: irs.analytic_delta()
Out[3]: 287.14750127899316

In [4]: irs.analytic_delta(local=True)
Out[4]: {'usd': 287.14750127899316}
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • local (bool, optional (set as False)) – An override flag to return a dict of NPV values indexed by string currency.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

  • leg (int, optional (set as 1)) – The Leg over which to calculate the analytic rate delta.

Return type:

float, Dual, Dual2, Variable or dict of such indexed by string currency.

cashflows(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Return aggregated cashflow data for the Instrument.

Warning

This method is a convenience method to provide a visual representation of all associated calculation data. Calling this method to extract certain values should be avoided. It is more efficient to source relevant parameters or calculations from object attributes or other methods directly.

Examples

In [1]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", fixed_rate=1.0)

In [2]: irs.cashflows()
Out[2]: 
               Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End    DF      Cashflow   NPV  FX Rate Base Ccy NPV Ccy Collateral  Rate  Spread
leg1 0  FixedPeriod  USD 2001-01-04  1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None -10138.888889  None      1.0      USD    None       None   1.0     NaN
     1  FixedPeriod  USD 2002-01-04  1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None -10138.888889  None      1.0      USD    None       None   1.0     NaN
     2  FixedPeriod  USD 2003-01-06  1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  None -10138.888889  None      1.0      USD    None       None   1.0     NaN
leg2 0  FloatPeriod  USD 2001-01-04 -1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None           NaN  None      1.0      USD    None       None   NaN     0.0
     1  FloatPeriod  USD 2002-01-04 -1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None           NaN  None      1.0      USD    None       None   NaN     0.0
     2  FloatPeriod  USD 2003-01-06 -1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  None           NaN  None      1.0      USD    None       None   NaN     0.0

Providing relevant pricing objects will ensure all data that can be calculated is returned.

In [3]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [4]: irs.cashflows(curves=[curve])
Out[4]: 
               Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End        DF      Cashflow           NPV  FX Rate Base Ccy       NPV Ccy Collateral      Rate  Spread
leg1 0  FixedPeriod  USD 2001-01-04  1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  0.971359 -10138.888889  -9848.496702      1.0      USD  -9848.496702       None  1.000000     NaN
     1  FixedPeriod  USD 2002-01-04  1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  0.943835 -10138.888889  -9569.435745      1.0      USD  -9569.435745       None  1.000000     NaN
     2  FixedPeriod  USD 2003-01-06  1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  0.916946 -10138.888889  -9296.817681      1.0      USD  -9296.817681       None  1.000000     NaN
leg2 0  FloatPeriod  USD 2001-01-04 -1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  0.971359  29161.694029  28326.461668      1.0      USD  28326.461668       None  2.876222     0.0
     1  FloatPeriod  USD 2002-01-04 -1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  0.943835  29161.694029  27523.820438      1.0      USD  27523.820438       None  2.876222     0.0
     2  FloatPeriod  USD 2003-01-06 -1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  0.916946  29161.694029  26739.710399      1.0      USD  26739.710399       None  2.876222     0.0
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

DataFrame

cashflows_table(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Aggregate the values derived from a cashflows(), grouped by date, settlement currency and collateral.

Examples

In [5]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", fixed_rate=1.0)

In [6]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [7]: irs.cashflows_table(curves=[curve])
Out[7]: 
local_ccy               USD
collateral_ccy          NaN
payment                    
2001-01-04      19022.80514
2002-01-04      19022.80514
2003-01-06      19022.80514
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • local (bool, optional (set as False)) – An override flag to return a dict of NPV values indexed by string currency.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

DataFrame

delta(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate delta risk of an Instrument against the calibrating instruments in a Solver.

Examples

In [8]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2002, 1, 1): 0.85, dt(2010, 1, 1): 0.75})

In [9]: solver = Solver(
   ...:     curves=[curve],
   ...:     instruments=[
   ...:         IRS(dt(2000, 1, 1), "2Y", spec="usd_irs", curves=[curve]),
   ...:         IRS(dt(2000, 1, 1), "5Y", spec="usd_irs", curves=[curve]),
   ...:     ],
   ...:     s=[2.0, 2.25],
   ...:     instrument_labels=["2Y", "5Y"],
   ...:     id="US_RATES"
   ...: )
   ...: 
SUCCESS: `func_tol` reached after 6 iterations (levenberg_marquardt), `f_val`: 8.499591036903249e-16, `time`: 0.0031s

In [10]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", curves=[curve])

In [11]: irs.delta(solver=solver)
Out[11]: 
local_ccy                          usd
display_ccy                        usd
type        solver   label            
instruments US_RATES 2Y     129.580448
                     5Y     162.173287
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, required) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

DataFrame

Notes

Delta measures the sensitivity of the PV to a change in any of the calibrating instruments of the given Solver. Values are returned according to the rate_scalar quantity at an Instrument level and according to the metric used to derive the rate() method of each Instrument.

exo_delta(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank, vars, vars_scalar=NoInput.blank, vars_labels=NoInput.blank)#

Calculate delta risk of an Instrument against some exogenous user created Variables, via a Solver.

See What are exogenous variables? in the cookbook.

Examples

This example calculates the risk of the fixed rate increasing by 1bp and the notional increasing by 1mm. Mathematically this should be equivalent to the npv and the analytic delta (although the calculation is based on AD and is completely independent of the solver).

In [12]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2002, 1, 1): 0.85, dt(2010, 1, 1): 0.75})

In [13]: solver = Solver(
   ....:     curves=[curve],
   ....:     instruments=[
   ....:         IRS(dt(2000, 1, 1), "2Y", spec="usd_irs", curves=[curve]),
   ....:         IRS(dt(2000, 1, 1), "5Y", spec="usd_irs", curves=[curve]),
   ....:     ],
   ....:     s=[2.0, 2.25],
   ....:     instrument_labels=["2Y", "5Y"],
   ....:     id="US_RATES"
   ....: )
   ....: 
SUCCESS: `func_tol` reached after 6 iterations (levenberg_marquardt), `f_val`: 8.499591036903249e-16, `time`: 0.0030s

In [14]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", fixed_rate=Variable(3.0, ["R"]), notional=Variable(1e6, ["N"]), curves=[curve])

In [15]: irs.exo_delta(solver=solver, vars=["R", "N"], vars_scalar=[1e-2, 1e6])
Out[15]: 
local_ccy                          usd
display_ccy                        usd
type      solver   label              
exogenous US_RATES R       -291.752073
                   N     -25123.690181

In [16]: irs.analytic_delta()
Out[16]: <Dual: 291.752073, (N, a1ff20, a1ff21, ...), [0.0, 49.2, 239.9, ...]>

In [17]: irs.npv()
Out[17]: <Dual: -25123.690181, (N, R, a1ff20, ...), [-0.0, -29175.2, 982218.9, ...]>
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, required) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

  • vars (list[str], required) – The variable tags which to determine sensitivities for.

  • vars_scalar (list[float], optional) – Scaling factors for each variable, for example converting rates to basis point etc. Defaults to ones.

  • vars_labels (list[str], optional) – Alternative names to relabel variables in DataFrames.

Return type:

DataFrame

gamma(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate cross-gamma risk of an Instrument against the calibrating instruments of a Solver.

Examples

In [18]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2002, 1, 1): 0.85, dt(2010, 1, 1): 0.75})

In [19]: solver = Solver(
   ....:     curves=[curve],
   ....:     instruments=[
   ....:         IRS(dt(2000, 1, 1), "2Y", spec="usd_irs", curves=[curve]),
   ....:         IRS(dt(2000, 1, 1), "5Y", spec="usd_irs", curves=[curve]),
   ....:     ],
   ....:     s=[2.0, 2.25],
   ....:     instrument_labels=["2Y", "5Y"],
   ....:     id="US_RATES"
   ....: )
   ....: 
SUCCESS: `func_tol` reached after 6 iterations (levenberg_marquardt), `f_val`: 8.499591036903249e-16, `time`: 0.0029s

In [20]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", curves=[curve])

In [21]: irs.gamma(solver=solver)
Out[21]: 
type                                             instruments          
solver                                              US_RATES          
label                                                     2Y        5Y
local_ccy display_ccy type        solver   label                      
usd       usd         instruments US_RATES 2Y      -0.029442 -0.038104
                                           5Y      -0.038104 -0.010190
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, required) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

DataFrame

Notes

Gamma measures the second order cross-sensitivity of the PV to a change in any of the calibrating instruments of the given Solver. Values are returned according to the rate_scalar quantity at an Instrument level and according to the metric used to derive the rate() method of each Instrument.

local_analytic_rate_fixings(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate the sensitivity to rate fixings of the Instrument, expressed in local settlement currency per basis point.

Examples

In [1]: curve1 = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75}, id="Eur1mCurve")

In [2]: curve3 = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.70}, id="Eur3mCurve")

In [3]: irs = IRS(dt(2000, 1, 1), "20m", spec="eur_irs3", curves=[{"1m": curve1, "3m": curve3}, curve1])

In [4]: irs.local_analytic_rate_fixings()
Out[4]: 
identifier  Eur1mCurve Eur3mCurve
local_ccy          eur        eur
display_ccy        eur        eur
frequency           1M         3M
obs_dates                        
1999-12-30     8.81934   7.215824
2000-02-28         NaN  25.251470
2000-05-30         NaN  25.069179
2000-08-30         NaN  24.619619
2000-11-29         NaN  24.177105
2001-02-27         NaN  24.535960
2001-05-30         NaN  24.884455
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

DataFrame

Notes

This analytic method will index the sensitivities with series identifier according to the Curve id which has forecast the fixing.

local_fixings(identifiers, scalars=NoInput.blank, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate the sensitivity to fixings of the Instrument, expressed in local settlement currency.

Parameters:

  • identifiers (Sequence of tuple[str, Series], required) – These are the series string identifiers and the data values that will be used in each Series to determine the sensitivity against.

  • scalars (Sequence of floats, optional (each set as 1.0)) – A sequence of scalars to multiply the sensitivities by for each on of the identifiers.

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

DataFrame

npv(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, local=False, settlement=NoInput.blank, forward=NoInput.blank)#

Return the NPV of the Portfolio by summing individual Instrument NPVs.

rate(*args, **kwargs)#

Calculate some pricing rate metric for the Instrument.

Examples

The default metric for an IRS is its fixed ‘rate’.

In [1]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [2]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", curves=[curve], fixed_rate=2.0)

In [3]: irs.rate()       # <- `fixed_rate` on fixed leg to equate value with float leg
Out[3]: 2.87622187684324
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • local (bool, optional (set as False)) – An override flag to return a dict of NPV values indexed by string currency.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

  • metric (str, optional) – The specific calculation to perform and the value to return. See Pricing on each Instrument for details of allowed inputs.

Return type:

float, Dual, Dual2, Variable

reset_fixings(state=NoInput.blank)#

Resets any fixings values of the Instrument derived using the given data state.

Parameters:

state (int, optional) – The state id of the data series that set the fixing. Only fixings determined by this data will be reset. If not given resets all fixings.

Return type:

None

spread(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate some pricing spread metric for the Instrument.

This calculation may be an alias for rate() with a specific metric and is designated at an Instrument level.

Examples

The ‘spread’ on an IRS is the float leg spread to equate value with the fixed leg.

In [4]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [5]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", curves=[curve], fixed_rate=2.0)

In [6]: irs.spread()       # <- `spread` on float leg to equate value with fixed leg
Out[6]: -87.62218768432399
Parameters:

  • curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.

  • fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.

  • vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.

  • base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.

  • local (bool, optional (set as False)) – An override flag to return a dict of NPV values indexed by string currency.

  • settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.

  • forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

float, Dual, Dual2, Variable