_WithFixings#

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

Bases: _WithNPV, Protocol

Protocol for determining fixing sensitivity for a Period with AD.

Required methods

reset_fixings([state])

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

Provided methods

reset_fixings([state])

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

Attributes Summary

settlement_params

The _SettlementParams of the Period.

Methods Summary

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

Calculate the immediate NPV of the Period in local settlement currency.

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.

reset_fixings([state])

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

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

Replicate immediate_local_npv() with lazy exception handling.

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

Replicate local_npv() with lazy exception handling.

Attributes Documentation

settlement_params#

The _SettlementParams of the Period.

Methods Documentation

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

Calculate the immediate NPV of the Period in local settlement currency.

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

\[P_0 = \mathbb{E^Q} [V(m_T) C(m_T)]\]
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.

  • 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:

Result[float, Dual, Dual2, Variable]

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.

reset_fixings(state=NoInput.blank)#

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

Examples

In [29]: 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 [30]: 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 [31]: assert 3.245 < fp.rate_params.rate_fixing.value < 3.255

In [32]: fp.reset_fixings()

# private data related to fixing is removed and requires new data lookup
In [33]: fp.rate_params.rate_fixing._value
Out[33]: <NoInput.blank: 0>

In [34]: fp.rate_params.rate_fixing._populated
Out[34]: 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_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_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]