_WithAnalyticDelta#

class rateslib.instruments.protocols._WithAnalyticDelta(*args, **kwargs)#

Bases: _WithPricingObjs, Protocol

Protocol to determine the analytic rate delta of a particular Leg of an Instrument.

Attributes Summary

kwargs

Methods Summary

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

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

Attributes Documentation

kwargs#

Methods Documentation

analytic_delta(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, local=False, settlement=NoInput.blank, forward=NoInput.blank, leg=1)#

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

Examples

In [127]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [128]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", fixed_rate=1.0, curves=[curve])

In [129]: irs.analytic_delta()
Out[129]: 287.14750127899316

In [130]: irs.analytic_delta(local=True)
Out[130]: {'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.