FloatLeg#

class rateslib.legs.FloatLeg(schedule, *, notional=NoInput.blank, amortization=NoInput.blank, currency=NoInput.blank, pair=NoInput.blank, fx_fixings=NoInput.blank, mtm=LegMtm.Initial, convention=NoInput.blank, initial_exchange=False, final_exchange=False, float_spread=NoInput.blank, rate_fixings=NoInput.blank, fixing_method=NoInput.blank, method_param=NoInput.blank, spread_compound_method=NoInput.blank, fixing_frequency=NoInput.blank, fixing_series=NoInput.blank, index_base=NoInput.blank, index_lag=NoInput.blank, index_method=NoInput.blank, index_fixings=NoInput.blank)#

Bases: _BaseLeg, _WithExDiv

A Leg containing FloatPeriod.

Examples

In [1]: fl = FloatLeg(
   ...:     schedule=Schedule(
   ...:          effective=dt(2000, 2, 1),
   ...:          termination=dt(2002, 2, 1),
   ...:          frequency="S",
   ...:     ),
   ...:     convention="Act360",
   ...:     float_spread=25.0,
   ...:     notional=10e6,
   ...: )
   ...: 

In [2]: fl.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
0  FloatPeriod  USD 2000-08-03  10000000.0  Regular     Act360  0.505556 2000-02-01 2000-08-01  None     None  None      1.0      USD    None       None  None    25.0
1  FloatPeriod  USD 2001-02-03  10000000.0  Regular     Act360  0.511111 2000-08-01 2001-02-01  None     None  None      1.0      USD    None       None  None    25.0
2  FloatPeriod  USD 2001-08-03  10000000.0  Regular     Act360  0.502778 2001-02-01 2001-08-01  None     None  None      1.0      USD    None       None  None    25.0
3  FloatPeriod  USD 2002-02-03  10000000.0  Regular     Act360  0.511111 2001-08-01 2002-02-01  None     None  None      1.0      USD    None       None  None    25.0

Parameters:

schedule (Schedule, required) –
The Schedule object which structures contiguous Periods. The schedule object also contains data for payment dates, payment dates for notional exchanges and ex-dividend dates for each period.

Note

The following define generalised settlement parameters.
currency (str, optional (set by ‘defaults’)) – The local settlement currency of the leg (3-digit code).
notional (float, Dual, Dual2, Variable, optional (set by ‘defaults’)) – The initial leg notional, defined in units of reference currency.
amortization (float, Dual, Dual2, Variable, str, Amortization, optional (set as zero)) – Set a non-constant notional per Period. If a scalar value, adjusts the notional of each successive period by that same value. Should have sign equal to that of notional if the notional is to reduce towards zero.
initial_exchange (bool, optional (set as False)) – Whether to also include an initial notional exchange. If True then final_exchange will also be set to True.
final_exchange (bool, optional (set as initial_exchange)) –
Whether to also include a final notional exchange and interim amortization notional exchanges.

Note

The following define non-deliverable parameters. If the Leg is directly deliverable then do not set a non-deliverable pair or any fx_fixings.
pair (FXIndex, str, optional) – The FXIndex for FXFixing defining the currency pair that determines Period settlement. The reference currency is implied from pair. Must include currency.
fx_fixings (float, Dual, Dual2, Variable, Series, str, 2-tuple or list, optional) –
The value of the FXFixing for each Period according to non-deliverability. Review the notes section non-deliverability. This should only ever be entered as either:
- scalar value: 1.15,
- fixings series: “Reuters_ZBS”,
- tuple of transaction rate and fixing series: (1.25, “Reuters_ZBC”)
mtm (LegMtm or str, optional (set to ‘initial’)) –
Define how the fixing dates are determined for each FXFixing See Notes regarding non-deliverability.

Note

The following are period parameters combined with the schedule.
convention (str, optional (set by ‘defaults’)) –
The day count convention applied to calculations of period accrual dates. See dcf().

Note

The following define rate parameters.
fixing_method (FloatFixingMethod, str, optional (set by ‘defaults’)) – The FloatFixingMethod describing the determination of the floating rate for each period.
method_param (int, optional (set by ‘defaults’)) – A specific parameter that is used by the specific fixing_method.
fixing_frequency (Frequency, str, optional (set by ‘frequency’ or ‘1B’)) – The Frequency as a component of the FloatRateIndex. If not given is assumed to match the frequency of the schedule for an IBOR type fixing_method or ‘1B’ if RFR type.
fixing_series (FloatRateSeries, str, optional (implied by other parameters)) – The FloatRateSeries as a component of the FloatRateIndex. If not given inherits attributes given such as the calendar, convention, method_param etc.
float_spread (float, Dual, Dual2, Variable, optional (set as 0.0)) – The amount (in bps) added to the rate in each period rate determination.
spread_compound_method (SpreadCompoundMethod, str, optional (set by ‘defaults’)) – The SpreadCompoundMethod used in the calculation of the period rate when combining a float_spread. Used only with RFR type fixing_method.
rate_fixings (float, Dual, Dual2, Variable, Series, str, optional) –
See Fixings. The value of the rate fixing. If a scalar, is used directly. If a string identifier, links to the central fixings object and data loader.

Note

The following parameters define indexation. The Period will be considered indexed if any of index_method, index_lag, index_base, index_fixings are given.
index_method (IndexMethod, str, optional (set by ‘defaults’)) – The interpolation method, or otherwise, to determine index values from reference dates.
index_lag (int, optional (set by ‘defaults’)) – The indexation lag, in months, applied to the determination of index values.
index_base (float, Dual, Dual2, Variable, optional) – The specific value applied as the base index value for all Periods. If not given and index_fixings is a string fixings identifier that will be used to determine the base index value.
index_fixings (float, Dual, Dual2, Variable, Series, str, 2-tuple or list, optional) – The index value for the reference date. Best practice is to supply this value as string identifier relating to the global fixings object.
index_only (bool, optional (set as False)) – A flag which indicates that the nominal amount is deducted from the cashflow leaving only the indexed up quantity.

Notes

The various combinations of amortisation, non-deliverability, indexation, and notional exchanges are identical to, and demonstrated in the documentation for, a FixedLeg object.

Attributes Summary

`amortization`	The `Amortization` object associated with the schedule.
`float_spread`	The float spread parameter of each composited `FloatPeriod`.
`periods`	A list of all contained Periods.
`rate_params`	The `_FloatRateParams` associated with the first `FloatPeriod`.
`schedule`	The `Schedule` object of Leg.
`settlement_params`	The `_SettlementParams` associated with the first `FloatPeriod`.

Methods Summary

`analytic_delta`(*[, rate_curve, index_curve, ...])	Calculate the analytic rate delta of a Period expressed in a base currency.
`cashflows`(*[, rate_curve, disc_curve, ...])	Return aggregated cashflow data for the Leg.
`ex_div`(settlement)	Return a boolean whether the security is ex-div at the given settlement.
`local_analytic_delta`([rate_curve, ...])	Calculate the analytic rate delta of a Period expressed in its local settlement currency.
`local_analytic_rate_fixings`(*[, rate_curve, ...])	Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in local settlement currency of the Period.
`local_fixings`(identifiers[, scalars, ...])	Calculate the sensitivity to fixings of the Instrument, expressed in local settlement currency.
`local_npv`(*[, rate_curve, index_curve, ...])	Calculate the NPV of the Leg expressed in local settlement currency.
`npv`(*[, rate_curve, index_curve, ...])	Calculate the NPV of the Period converted to any other base accounting currency.
`reset_fixings`([state])	Resets any fixings values of the Leg derived using the given data state.
`spread`(*, target_npv[, rate_curve, ...])	Calculate a spread metric which when applied to the Leg allows it to attain the target value.

Attributes Documentation

amortization#: The Amortization object associated with the schedule.

float_spread#: The float spread parameter of each composited FloatPeriod.

periods#: A list of all contained Periods.

rate_params#: The _FloatRateParams associated with the first FloatPeriod.

schedule#: The Schedule object of Leg.

settlement_params#: The _SettlementParams associated with the first FloatPeriod.

Methods Documentation

analytic_delta(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, base=NoInput.blank, local=False, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate the analytic rate delta of a Period expressed in a base currency.

Parameters:

rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
base (str, optional) – The currency to convert the local settlement NPV to.
local (bool, optional) – 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

cashflows(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Return aggregated cashflow data for the Leg.

Warning

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

Parameters:

rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
base (str, optional) – The currency to convert relevant values into.
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

ex_div(settlement)#

Return a boolean whether the security is ex-div at the given settlement.

Parameters:: settlement (datetime) – The settlement date to test.
Return type:: bool

Notes

Uses the UK DMO convention of returning False if settlement is on or before the ex-div date for a regular coupon period.

This is evaluated by analysing the attribute pschedule3 of the associated Schedule object of the Leg.

local_analytic_delta(rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate the analytic rate delta of a Period expressed in its local settlement currency.

Parameters:

rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
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

local_analytic_rate_fixings(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in local settlement currency of the Period.

If the Period has no sensitivity to rates fixings this DataFrame is empty.

Parameters:

rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
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

local_fixings(identifiers, scalars=NoInput.blank, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

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

Parameters:

indentifiers (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.
rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an class:~rateslib.fx.FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
settlement (datetime, optional (set as immediate date)) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.
forward (datetime, optional (set as settlement)) – The future date to project the PV to using the disc_curve.

Return type:

DataFrame

local_npv(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate the NPV of the Leg expressed in local settlement currency.

Parameters:

rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
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

npv(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, base=NoInput.blank, local=False, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate the NPV of the Period converted to any other base accounting currency.

Hint

If the cashflows are unspecified or incalculable due to missing information this method will raise an exception. For a function that returns a Result indicating success or failure use try_local_npv().

Parameters:

rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
base (str, optional) – The currency to convert the local settlement NPV to.
local (bool, optional) – 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 or dict of such indexed by string currency.

Notes

If base is not provided then this function will return the value obtained from try_local_npv().

If base is provided this then an FXForwards object may be required to perform conversions. An FXRates object is also allowed for this conversion although best practice does not recommend it due to possible settlement date conflicts.

reset_fixings(state=NoInput.blank)#

Resets any fixings values of the Leg 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(*, target_npv, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate a spread metric which when applied to the Leg allows it to attain the target value.

Parameters:

target_npv (DualTypes, required) – The target value of the Leg measured using all of the other given arguments. Must be expressed in local settlement currency units.
rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
index_curve (_BaseCurve, optional) – Used to forecast index values for indexation, if necessary.
disc_curve (_BaseCurve, optional) – Used to discount cashflows.
fx (FXForwards, optional) – The FXForwards object used for forecasting the fx_fixing for deliverable cashflows, if necessary. Or, an FXRates object purely for immediate currency conversion.
fx_vol (FXDeltaVolSmile, FXSabrSmile, FXDeltaVolSurface, FXSabrSurface, optional) – The FX volatility Smile or Surface object used for determining Black calendar day implied volatility values.
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

FloatLeg#

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