ZeroFloatPeriod#

class rateslib.periods.ZeroFloatPeriod(*, 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, schedule, notional=NoInput.blank, currency=NoInput.blank, convention=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)#

Bases: _BasePeriodStatic

A Period defined by compounded floating rate Periods.

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

\[\mathbb{E^Q}[\bar{C}_t] = - N \left ( \prod_{i=1}^n \left ( 1 + r_i(\mathbf{C}, R_j, z) d_i \right ) - 1 \right )\]

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

Examples

In [1]: fixings.add("MY_RATE_INDEX_6M", Series(
   ...:     index=[dt(2000, 1, 1), dt(2000, 7, 1), dt(2001, 1, 1), dt(2001, 7, 1)],
   ...:     data=[1.0, 2.0, 3.0, 4.0]
   ...: ))
   ...: 

In [2]: period = ZeroFloatPeriod(
   ...:     schedule=Schedule(dt(2000, 1, 1), "2Y", "S"),
   ...:     fixing_method="IBOR",
   ...:     rate_fixings="MY_RATE_INDEX",
   ...:     convention="Act360",
   ...:     method_param=0,
   ...: )
   ...: 

In [3]: period.cashflows()
Out[3]: 
{'Type': 'ZeroFloatPeriod',
 'Ccy': 'USD',
 'Payment': datetime.datetime(2002, 1, 3, 0, 0),
 'Notional': 1000000.0,
 'Period': 'Stub',
 'Convention': 'Act360',
 'DCF': 2.0305555555555554,
 'Acc Start': datetime.datetime(2000, 1, 1, 0, 0),
 'Acc End': datetime.datetime(2002, 1, 1, 0, 0),
 'DF': None,
 'Cashflow': -51714.953622833185,
 'NPV': None,
 'FX Rate': 1.0,
 'Base Ccy': 'USD',
 'NPV Ccy': None,
 'Collateral': None,
 'Rate': 2.498648062230746,
 'Spread': 0.0}

For more details of the individual compounded periods one can compose a CustomLeg and view the pseudo-cashflows.

In [4]: CustomLeg(period.float_periods).cashflows()
Out[4]: 
          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 2000-07-03  1000000.0  Regular     Act360  0.505556 2000-01-01 2000-07-01  None  -5055.555556  None      1.0      USD    None       None   1.0     0.0
1  FloatPeriod  USD 2001-01-03  1000000.0  Regular     Act360  0.511111 2000-07-01 2001-01-01  None -10222.222222  None      1.0      USD    None       None   2.0     0.0
2  FloatPeriod  USD 2001-07-03  1000000.0  Regular     Act360  0.502778 2001-01-01 2001-07-01  None -15083.333333  None      1.0      USD    None       None   3.0     0.0
3  FloatPeriod  USD 2002-01-03  1000000.0  Regular     Act360  0.511111 2001-07-01 2002-01-01  None -20444.444444  None      1.0      USD    None       None   4.0     0.0

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.

Note

The following parameters are scheduling period parameters
schedule (Schedule, required) –
The Schedule defining the individual Periods, including the payment and ex-dividend dates.

Note

The following define floating rate parameters.
fixing_method (FloatFixingMethod, str, optional (set by ‘defaults’)) – The FloatFixingMethod describing the determination of the floating rate for the 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 period 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 the period rate determination. If not given is set to zero.
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) –
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 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_only (bool, optional (set as False)) – A flag which determines non-payment of notional on supported Periods.

Attributes Summary

`dcf`	An overload for the calculation of the DCF, replacing period_params.dcf.
`float_periods`	The individual `FloatPeriod` that are compounded.
`float_spread`	The float spread parameter of each `FloatPeriod`.
`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.
`schedule`	The `Schedule` object for this 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.
`rate`(*[, rate_curve])	Calculate a single rate representation for the Period's cashflow.
`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_rate`(*[, rate_curve])
`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

dcf#: An overload for the calculation of the DCF, replacing period_params.dcf.

float_periods#: The individual FloatPeriod that are compounded.

float_spread#: The float spread parameter of each FloatPeriod.

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.

schedule#: The Schedule object for this 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

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.

rate(*, rate_curve=NoInput.blank)#

Calculate a single rate representation for the Period’s cashflow.

The rate is determined from the compounded Period rates according to:

\[\left ( 1 + \frac{r}{f} \right )^{df} = \prod_{i=1}^n \left ( 1 + r_i(\mathbf{C}, R_j, z) d_i \right )\]

Parameters:: rate_curve (_BaseCurve or dict of such indexed by string tenor, optional) – Used to forecast floating period rates, if necessary.
Return type:: float, Dual, Dual2 or Variable

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 [5]: 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 [6]: 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 [7]: assert 3.245 < fp.rate_params.rate_fixing.value < 3.255

In [8]: fp.reset_fixings()

# private data related to fixing is removed and requires new data lookup
In [9]: fp.rate_params.rate_fixing._value
Out[9]: <NoInput.blank: 0>

In [10]: fp.rate_params.rate_fixing._populated
Out[10]: 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_rate(*, rate_curve=NoInput.blank, **kwargs)#

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

ZeroFloatPeriod#

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