Spread#
- class rateslib.instruments.Spread(instrument1, instrument2)#
Bases:
_BaseInstrumentA Spread of
_BaseInstrument.Examples
The following initialises a purchased bond asset swap Instrument whose rate is the difference between the IRS rate and the fixed rate bond YTM.
In [1]: irs = IRS(dt(2025, 12, 1), dt(2030, 12, 7), notional=1e6, spec="gbp_irs", curves=["uk_sonia"]) In [2]: ukt = FixedRateBond(dt(2024, 12, 7), dt(2030, 12, 7), notional=-1e6, fixed_rate=4.75, spec="uk_gb", metric="ytm", curves=["uk_gb"]) In [3]: asw = Spread(ukt, irs) In [4]: asw.cashflows() 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 inst0 leg1 0 FixedPeriod GBP 2025-06-09 -1000000.0 Regular ActActICMA 0.500000 2024-12-07 2025-06-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 1 FixedPeriod GBP 2025-12-08 -1000000.0 Regular ActActICMA 0.500000 2025-06-07 2025-12-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 2 FixedPeriod GBP 2026-06-08 -1000000.0 Regular ActActICMA 0.500000 2025-12-07 2026-06-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 3 FixedPeriod GBP 2026-12-07 -1000000.0 Regular ActActICMA 0.500000 2026-06-07 2026-12-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 4 FixedPeriod GBP 2027-06-07 -1000000.0 Regular ActActICMA 0.500000 2026-12-07 2027-06-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 5 FixedPeriod GBP 2027-12-07 -1000000.0 Regular ActActICMA 0.500000 2027-06-07 2027-12-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 6 FixedPeriod GBP 2028-06-07 -1000000.0 Regular ActActICMA 0.500000 2027-12-07 2028-06-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 7 FixedPeriod GBP 2028-12-07 -1000000.0 Regular ActActICMA 0.500000 2028-06-07 2028-12-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 8 FixedPeriod GBP 2029-06-07 -1000000.0 Regular ActActICMA 0.500000 2028-12-07 2029-06-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 9 FixedPeriod GBP 2029-12-07 -1000000.0 Regular ActActICMA 0.500000 2029-06-07 2029-12-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 10 FixedPeriod GBP 2030-06-07 -1000000.0 Regular ActActICMA 0.500000 2029-12-07 2030-06-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 11 FixedPeriod GBP 2030-12-09 -1000000.0 Regular ActActICMA 0.500000 2030-06-07 2030-12-07 None 23750.0 None 1.0 GBP None None 4.75 NaN 12 Cashflow GBP 2030-12-09 -1000000.0 NaN NaN NaN NaT NaT None 1000000.0 None 1.0 GBP None None NaN NaN inst1 leg1 0 FixedPeriod GBP 2025-12-08 1000000.0 Stub Act365F 0.019178 2025-12-01 2025-12-08 None NaN None 1.0 GBP None None NaN NaN 1 FixedPeriod GBP 2026-12-07 1000000.0 Regular Act365F 0.997260 2025-12-08 2026-12-07 None NaN None 1.0 GBP None None NaN NaN 2 FixedPeriod GBP 2027-12-07 1000000.0 Regular Act365F 1.000000 2026-12-07 2027-12-07 None NaN None 1.0 GBP None None NaN NaN 3 FixedPeriod GBP 2028-12-07 1000000.0 Regular Act365F 1.002740 2027-12-07 2028-12-07 None NaN None 1.0 GBP None None NaN NaN 4 FixedPeriod GBP 2029-12-07 1000000.0 Regular Act365F 1.000000 2028-12-07 2029-12-07 None NaN None 1.0 GBP None None NaN NaN 5 FixedPeriod GBP 2030-12-09 1000000.0 Regular Act365F 1.005479 2029-12-07 2030-12-09 None NaN None 1.0 GBP None None NaN NaN leg2 0 FloatPeriod GBP 2025-12-08 -1000000.0 Stub Act365F 0.019178 2025-12-01 2025-12-08 None NaN None 1.0 GBP None None NaN 0.0 1 FloatPeriod GBP 2026-12-07 -1000000.0 Regular Act365F 0.997260 2025-12-08 2026-12-07 None NaN None 1.0 GBP None None NaN 0.0 2 FloatPeriod GBP 2027-12-07 -1000000.0 Regular Act365F 1.000000 2026-12-07 2027-12-07 None NaN None 1.0 GBP None None NaN 0.0 3 FloatPeriod GBP 2028-12-07 -1000000.0 Regular Act365F 1.002740 2027-12-07 2028-12-07 None NaN None 1.0 GBP None None NaN 0.0 4 FloatPeriod GBP 2029-12-07 -1000000.0 Regular Act365F 1.000000 2028-12-07 2029-12-07 None NaN None 1.0 GBP None None NaN 0.0 5 FloatPeriod GBP 2030-12-09 -1000000.0 Regular Act365F 1.005479 2029-12-07 2030-12-09 None NaN None 1.0 GBP None None NaN 0.0
Pricing
Each
_BaseInstrumentshould have its owncurvesandvolobjects set at its initialisation, according to the documentation for that Instrument. For the pricing methodscurvesandvolobjects, 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. In the above example a bond Curve and a swap Curve are required separately. For a Spread of two IRS in the same currency this would be possible, however.- Parameters:
instrument1 (_BaseInstrument) – The Instrument with the shortest maturity.
instrument2 (_BaseInstrument) – The Instrument with the longest maturity.
Notes
A Spread is just a container for two
_BaseInstrument, with an overload for therate()method to calculate the longer rate minus the shorter (whatever metric is in use for each Instrument), which allows it to offer a lot of flexibility in pseudo Instrument creation.Attributes Summary
The Instruments contained within the Portfolio.
The
_KWArgscontainer for the Instrument.A scaling quantity associated with the
Solverrisk calculations.The default
_SettlementParamsof 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(*[, curves, solver, fx, vol, base, ...])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.
- settlement_params#
The default
_SettlementParamsof the Instrument.This is used to define a
basecurrency 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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`: 0.0033s 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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 therate_scalarquantity at an Instrument level and according to themetricused to derive therate()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, cb5930, cb5931, ...), [0.0, 49.2, 239.9, ...]> In [17]: irs.npv() Out[17]: <Dual: -25123.690181, (N, R, cb5930, ...), [-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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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`: 0.0034s 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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 therate_scalarquantity at an Instrument level and according to themetricused to derive therate()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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank, metric=NoInput.blank)#
Calculate some pricing rate metric for the Instrument.
Examples
The default metric for an
IRSis 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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:
- 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
IRSis 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
Solverobject containing Curve, Smile, Surface, or Cube mappings for pricing.fx (FXForwards, optional) – The
FXForwardsobject 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: