FixedPeriod#

class rateslib.periods.FixedPeriod(*, fixed_rate=NoInput.blank, payment, notional=NoInput.blank, currency=NoInput.blank, ex_dividend=NoInput.blank, start, end, frequency, convention=NoInput.blank, termination=NoInput.blank, stub=False, roll=NoInput.blank, calendar=NoInput.blank, adjuster=NoInput.blank, pair=NoInput.blank, fx_fixings=NoInput.blank, delivery=NoInput.blank, index_base=NoInput.blank, index_lag=NoInput.blank, index_method=NoInput.blank, index_fixings=NoInput.blank, index_only=NoInput.blank, index_base_date=NoInput.blank, index_reference_date=NoInput.blank)#

Bases: _BasePeriodStatic

A Period defined by a fixed interest rate.

The expected unindexed reference cashflow under the risk neutral distribution is defined as,

\[\mathbb{E^Q} [\bar{C}_t] = -N d R\]

For analytic delta purposes the \(\xi=-R\).

Examples

In [1]: period = FixedPeriod(
   ...:     start=dt(2000, 1, 1),
   ...:     end=dt(2001, 1, 1),
   ...:     payment=dt(2001, 1, 1),
   ...:     fixed_rate=5.0,
   ...:     notional=1e6,
   ...:     convention="ActActICMA",
   ...:     frequency="A",
   ...: )
   ...: 

In [2]: period.cashflows()
Out[2]: 
{'Type': 'FixedPeriod',
 'Ccy': 'USD',
 'Payment': datetime.datetime(2001, 1, 1, 0, 0),
 'Notional': 1000000.0,
 'Period': 'Regular',
 'Convention': 'ActActICMA',
 'DCF': 1.0,
 'Acc Start': datetime.datetime(2000, 1, 1, 0, 0),
 'Acc End': datetime.datetime(2001, 1, 1, 0, 0),
 'DF': None,
 'Cashflow': -50000.0,
 'NPV': None,
 'FX Rate': 1.0,
 'Base Ccy': 'USD',
 'NPV Ccy': None,
 'Collateral': None,
 'Rate': 5.0,
 'Spread': None}
Parameters:

  • . –

    Note

    The following define generalised settlement parameters.

  • currency (str, optional (set by ‘defaults’)) – The physical settlement currency of the Period.

  • notional (float, Dual, Dual2, Variable, optional (set by ‘defaults’)) – The notional amount of the Period expressed in notional currency.

  • payment (datetime, required) – The payment date of the Period cashflow.

  • ex_dividend (datetime, optional (set as ‘payment’)) –

    The ex-dividend date of the Period. Settlements occurring after this date are assumed to be non-receivable.

    Note

    The following parameters are scheduling period parameters

  • start (datetime, required) – The identified start date of the Period.

  • end (datetime, required) – The identified end date of the Period.

  • frequency (Frequency, str, required) – The Frequency associated with the Period.

  • convention (Convention, str, optional (set by ‘defaults’)) – The day count Convention associated with the Period.

  • termination (datetime, optional) – The termination date of an external Schedule.

  • calendar (Calendar, optional) – The calendar associated with the Period.

  • stub (bool, str, optional (set as False)) – Whether the Period is defined as a stub according to some external Schedule.

  • adjuster (Adjuster, optional) –

    The date Adjuster applied to unadjusted dates in the external Schedule to arrive at adjusted accrual dates.

    Note

    The following define fixed rate parameters.

  • fixed_rate (float, Dual, Dual2, Variable, optional) –

    The fixed rate to determine the Period cashflow.

    Note

    The following parameters define non-deliverability. If the Period is directly deliverable do not supply these parameters.

  • pair (str, optional) – The currency pair of the FXFixing that determines settlement. The reference currency is implied from pair. Must include currency.

  • fx_fixings (float, Dual, Dual2, Variable, Series, str, optional) – The value of the FXFixing. If a scalar is used directly. If a string identifier will link to the central fixings object and data loader.

  • delivery (datetime, optional (set as ‘payment’)) –

    The settlement delivery date of the FXFixing.

    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 set of the base index value. If not given and index_fixings is a str fixings identifier that will be used to determine the base index value.

  • index_fixings (float, Dual, Dual2, Variable, Series, str, optional) – The index value for the reference date. If a scalar value this is used directly. If a string identifier will link to the central fixings object and data loader.

  • index_base_date (datetime, optional) – The reference date for determining the base index value. Not required if _index_base value is given directly.

  • index_reference_date (datetime, optional (set as ‘end’)) – The reference date for determining the index value. Not required if _index_fixings is given as a scalar value.

  • index_only (bool, optional (set as False)) – A flag which determines non-payment of notional on supported Periods.

Attributes Summary

index_params

The _IndexParams of the Period, if any.

is_indexed

Check whether the Period has indexation applied, which means it has index_params.

is_non_deliverable

Check whether the Period is non-deliverable, which means it has non_deliverable_params.

non_deliverable_params

The _NonDeliverableParams of the Period., if any.

period_params

The _PeriodParams of the Period.

rate_params

The _FixedRateParams of the Period.

settlement_params

The _SettlementParams of the Period.

Methods Summary

analytic_delta(*[, rate_curve, index_curve, ...])

Calculate the analytic rate delta of the Period converted to any other base accounting currency.

cashflow(*[, rate_curve, disc_curve, ...])

Calculate the cashflow for the Period with settlement currency adjustment and indexation.

cashflows(*[, rate_curve, disc_curve, ...])

Return aggregated cashflow data for the Period.

convert_deliverable(value, fx)

Apply settlement currency conversion to a Static Period using its non_deliverable_params.

immediate_local_npv(*[, rate_curve, ...])

Calculate the NPV of the Period in local settlement currency.

index_up(value, index_curve)

Apply indexation to a Static Period value using its index_params.

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 Period in local settlement currency.

npv(*[, rate_curve, index_curve, ...])

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

reference_cashflow(*[, rate_curve, ...])

Calculate the cashflow for the Static Period before settlement currency adjustment but after indexation.

reset_fixings([state])

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

try_cashflow(*[, rate_curve, disc_curve, ...])

Replicate cashflow() with lazy exception handling.

try_cashflow_analytic_delta(*[, rate_curve, ...])

Calculate the cashflow for the Period with settlement currency adjustment and indexation.

try_cashflow_analytic_rate_fixings(*[, ...])

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in settlement currency of the Period, adjusted for indexation but unadjusted by timing of the cashflow.

try_convert_deliverable(value, fx)

Replicate convert_deliverable() with lazy exception handling.

try_immediate_analytic_rate_fixings([...])

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in local settlement currency of the Period with immediate value, with lazy error raising.

try_immediate_local_analytic_delta(*[, ...])

Calculate the immediate, analytic rate delta of a Period expressed in local settlement currency, with lazy error raising.

try_immediate_local_npv(*[, rate_curve, ...])

Replicate immediate_local_npv() with lazy exception handling.

try_index_up(value, index_curve)

Replicate index_up() with lazy exception handling.

try_local_analytic_delta(*[, rate_curve, ...])

Calculate the analytic rate delta of a Period expressed in local settlement currency, with lazy error raising.

try_local_npv(*[, rate_curve, index_curve, ...])

Replicate local_npv() with lazy exception handling.

try_reference_cashflow(*[, rate_curve, ...])

Replicate reference_cashflow() with lazy exception handling.

try_reference_cashflow_analytic_delta(*[, ...])

Calculate the cashflow analytic delta for the Static Period before settlement currency adjustment but after indexation, with lazy error raising.

try_reference_cashflow_analytic_rate_fixings(*)

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in reference currency of the Period,adjusted for indexation but unadjusted by timing of the cashflow.

try_unindexed_cashflow(*[, rate_curve, ...])

Replicate unindexed_cashflow() with lazy exception handling.

try_unindexed_cashflow_analytic_delta(*[, ...])

Calculate the cashflow analytic delta for the Static Period with settlement currency adjustment but without indexation, with lazy error raising.

try_unindexed_cashflow_analytic_rate_fixings(*)

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in settlement currency of the Period, unadjusted by timing of the cashflow and indexation.

try_unindexed_reference_cashflow(*[, ...])

Replicate unindexed_reference_cashflow() with lazy exception handling.

try_unindexed_reference_cashflow_analytic_delta(*)

Calculate the cashflow analytic delta for the Static Period before settlement currency adjustment and indexation, with lazy error raising.

try_unindexed_reference_cashflow_analytic_rate_fixings(*)

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in reference currency of the Period, unadjusted by timing of the cashflow and by indexation.

unindexed_cashflow(*[, rate_curve, ...])

Calculate the cashflow for the Static Period with settlement currency adjustment but without indexation.

unindexed_reference_cashflow(*[, rate_curve])

Calculate the cashflow for the Static Period before settlement currency and indexation adjustments.

Attributes Documentation

index_params#

The _IndexParams of the Period, if any.

is_indexed#

Check whether the Period has indexation applied, which means it has index_params.

is_non_deliverable#

Check whether the Period is non-deliverable, which means it has non_deliverable_params.

non_deliverable_params#

The _NonDeliverableParams of the Period., if any.

period_params#

The _PeriodParams of the Period.

rate_params#

The _FixedRateParams of the Period.

settlement_params#

The _SettlementParams of the Period.

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 the Period converted to any other base accounting currency.

This method converts a local settlement currency value to a base accounting currency according to:

\[A^{bas}(m_s, m_f) = f_{loc:bas}(m_f) A(m_s, m_f)\]

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_analytic_delta().

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 values indexed by string currency.

  • 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:

float, Dual, Dual2, Variable or dict

cashflow(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Calculate the cashflow for the Period with settlement currency adjustment and indexation.

\[I_r f(m_d)\mathbb{E^Q}[\bar{C}_t]\]
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, if necessary.

  • 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.

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 Period.

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 efficient 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 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:

dict of values

convert_deliverable(value, fx)#

Apply settlement currency conversion to a Static Period using its non_deliverable_params.

Parameters:

  • value (float, Dual, Dual2, Variable) – The possible value to apply settlement currency conversion to.

  • fx (FXForwards, optional) – The object used to forecast forward FX rates, if necessary.

Return type:

float, Dual, Dual2, Variable

immediate_local_npv(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Calculate the NPV of the Period in local settlement currency.

This method does not adjust for ex-dividend and is an immediate measure according to,

\[P_0 = v(m_t) I_r f(m_d) \mathbb{E^Q} [\bar{C}_t]\]

for non-deliverable delivery, \(m_d\), and index ratio, \(I_r\).

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 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.

Return type:

float, Dual, Dual2, Variable

index_up(value, index_curve)#

Apply indexation to a Static Period value using its index_params.

Parameters:

  • value (float, Dual, Dual2, Variable) – The possible value to apply indexation to.

  • index_curve (_BaseCurve, optional) – The index curve used to forecast index values, if necessary.

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 Period in local settlement currency.

This method adjusts the immediate NPV for ex-dividend, settlement and forward projected value, according to,

\[\begin{split}P(m_s, m_f) = \mathbb{I}(m_s) \frac{1}{v(m_f)} P_0, \qquad \; \mathbb{I}(m_s) = \left \{ \begin{matrix} 0 & m_s > m_{ex} \\ 1 & m_s \leq m_{ex} \end{matrix} \right .\end{split}\]

for forward, \(m_f\), settlement, \(m_s\), and ex-dividend, \(m_{ex}\).

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 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:

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.

This method converts a local settlement currency value to a base accounting currency according to:

\[P^{bas}(m_s, m_f) = f_{loc:bas}(m_f) P(m_s, m_f)\]

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, (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:

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 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.

reference_cashflow(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Calculate the cashflow for the Static Period before settlement currency adjustment but after indexation.

\[I_r\mathbb{E^Q}[\bar{C}_t]\]
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, if necessary.

  • 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.

Return type:

float, Dual, Dual2, Variable

reset_fixings(state=NoInput.blank)#

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

Examples

In [3]: fp = FloatPeriod(
   ...:     start=dt(2026, 1, 12),
   ...:     end=dt(2026, 1, 16),
   ...:     payment=dt(2026, 1, 16),
   ...:     frequency="M",
   ...:     fixing_method="rfr_payment_delay",
   ...:     method_param=0,
   ...:     rate_fixings="sofr"
   ...: )
   ...: 

In [4]: fixings.add(
   ...:     name="sofr_1B",
   ...:     series=Series(
   ...:         index=[dt(2026, 1, 12), dt(2026, 1, 13), dt(2026, 1, 14), dt(2026, 1, 15)],
   ...:         data=[3.1, 3.2, 3.3, 3.4]
   ...:     )
   ...: )
   ...: 

# value is populated from given data
In [5]: assert 3.245 < fp.rate_params.rate_fixing.value < 3.255

In [6]: fp.reset_fixings()

# private data related to fixing is removed and requires new data lookup
In [7]: fp.rate_params.rate_fixing._value
Out[7]: <NoInput.blank: 0>

In [8]: fp.rate_params.rate_fixing._populated
Out[8]: Series([], dtype: float64)
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.

try_cashflow(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Replicate cashflow() with lazy exception handling.

Return type:

Result[float, Dual, Dual2, Variable]

try_cashflow_analytic_delta(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Calculate the cashflow for the Period with settlement currency adjustment and indexation.

\[I_r f(m_d) \frac{\partial \mathbb{E^Q}[\bar{C}_t]}{\partial \xi}\]
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.

Return type:

Result[float, Dual, Dual2, Variable]

try_cashflow_analytic_rate_fixings(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in settlement currency of the Period, adjusted for indexation but unadjusted by timing of the cashflow.

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.

Return type:

Result[DataFrame]

try_convert_deliverable(value, fx)#

Replicate convert_deliverable() with lazy exception handling.

Parameters:

  • value (Result[float, Dual, Dual2, Variable]) – The possible value to apply settlement currency conversion to.

  • fx (FXForwards, optional) – The object used to forecast forward FX rates, if necessary.

Return type:

Result[float, Dual, Dual2, Variable]

try_immediate_analytic_rate_fixings(rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in local settlement currency of the Period with immediate value, with lazy error raising.

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.

Return type:

Result[DataFrame]

try_immediate_local_analytic_delta(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Calculate the immediate, analytic rate delta of a Period expressed in local settlement currency, with lazy error raising.

This method does not adjust for ex-dividend and is an immediate measure according to,

\[A_0 = \frac{\partial P_0}{\partial \xi}, \quad \text{for some, } \xi\]
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 FXForward 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.

Return type:

Result[float, Dual, Dual2, Variable]

try_immediate_local_npv(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Replicate immediate_local_npv() with lazy exception handling.

Return type:

Result[float, Dual, Dual2, Variable]

try_index_up(value, index_curve)#

Replicate index_up() with lazy exception handling.

Parameters:

  • value (Result[float, Dual, Dual2, Variable]) – The possible value to apply indexation to.

  • index_curve (_BaseCurve, optional) – The index curve used to forecast index values, if necessary.

Return type:

Result[float, Dual, Dual2, Variable]

try_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 local settlement currency, with lazy error raising.

This method adjusts the immediate NPV for ex-dividend and forward projected value, according to,

\[\begin{split}A(m_s, m_f) = \mathbb{I}(m_s) \frac{1}{v(m_f)} A_0, \qquad \; \mathbb{I}(m_s) = \left \{ \begin{matrix} 0 & m_s > m_{ex} \\ 1 & m_s \leq m_{ex} \end{matrix} \right .\end{split}\]

for forward, \(m_f\), settlement, \(m_s\), and ex-dividend, \(m_{ex}\).

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 FXForward 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) – 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:

Result[float, Dual, Dual2, Variable]

try_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)#

Replicate local_npv() with lazy exception handling.

Return type:

Result[float, Dual, Dual2, Variable]

try_reference_cashflow(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Replicate reference_cashflow() with lazy exception handling.

Return type:

Result[float, Dual, Dual2, Variable]

try_reference_cashflow_analytic_delta(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank)#

Calculate the cashflow analytic delta for the Static Period before settlement currency adjustment but after indexation, with lazy error raising.

\[I_r \frac{\partial \mathbb{E^Q}[\bar{C}_t]}{\partial \xi}\]
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.

Return type:

Result[float, Dual, Dual2, Variable]

try_reference_cashflow_analytic_rate_fixings(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in reference currency of the Period,adjusted for indexation but unadjusted by timing of the cashflow.

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.

Return type:

Result[DataFrame]

try_unindexed_cashflow(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Replicate unindexed_cashflow() with lazy exception handling.

Return type:

Result[float, Dual, Dual2, Variable]

try_unindexed_cashflow_analytic_delta(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank)#

Calculate the cashflow analytic delta for the Static Period with settlement currency adjustment but without indexation, with lazy error raising.

\[f(m_d) \frac{\partial \mathbb{E^Q}[\bar{C}_t]}{\partial \xi}\]
Parameters:

  • rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, 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.

Return type:

Result[float, Dual, Dual2, Variable]

try_unindexed_cashflow_analytic_rate_fixings(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in settlement currency of the Period, unadjusted by timing of the cashflow and indexation.

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.

Return type:

Result[DataFrame]

try_unindexed_reference_cashflow(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Replicate unindexed_reference_cashflow() with lazy exception handling.

Return type:

Result[float, Dual, Dual2, Variable]

try_unindexed_reference_cashflow_analytic_delta(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank)#

Calculate the cashflow analytic delta for the Static Period before settlement currency adjustment and indexation, with lazy error raising.

\[\frac{\partial \mathbb{E^Q}[\bar{C}_t]}{\partial \xi}\]
Parameters:

  • rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.

  • disc_curve (_BaseCurve, optional) – Used to discount cashflows.

Return type:

Result[float, Dual, Dual2, Variable]

try_unindexed_reference_cashflow_analytic_rate_fixings(*, rate_curve=NoInput.blank, index_curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in reference currency of the Period, unadjusted by timing of the cashflow and by indexation.

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.

Return type:

Result[DataFrame]

unindexed_cashflow(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank)#

Calculate the cashflow for the Static Period with settlement currency adjustment but without indexation.

\[f(m_d)\mathbb{E^Q}[\bar{C}_t]\]
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, if necessary.

  • 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.

Return type:

float, Dual, Dual2, Variable

unindexed_reference_cashflow(*, rate_curve=NoInput.blank, **kwargs)#

Calculate the cashflow for the Static Period before settlement currency and indexation adjustments.

\[\mathbb{E^Q}[\bar{C}_t]\]
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, if necessary.

  • 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.

Return type:

float, Dual, Dual2, Variable

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