_WithFixings#

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

Bases: Protocol

Protocol for determining fixing sensitivity for a Period with AD.

Provided methods

reset_fixings([state])

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

Methods Summary

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

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

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

reset_fixings([state])

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

Methods Documentation

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)#
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