_WithFixings#

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

Bases: _WithNPV, Protocol

Protocol for determining fixing sensitivity for a Period with AD.

Provided methods

reset_fixings([state])

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

Attributes Summary

periods

Methods Summary

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

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

reset_fixings([state])

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

Attributes Documentation

periods#

Methods Documentation

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

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