Periods

The rateslib.periods module creates objects designed to generate single cashflows. Typically these are the constituent part of Legs.

Conventional Periods

The typical periods used in fixed income are as follows. Each of these natively allows non-deliverability and indexation, if the relevant parameters are supplied.

rateslib.periods.FixedPeriod(*[, ...])	A Period defined by a fixed interest rate.
rateslib.periods.FloatPeriod(*[, ...])	A Period defined by a floating interest rate.
rateslib.periods.Cashflow(*, payment, notional)	A Period defined by a specific amount.

Additional Periods

The following periods add additional features suitable for certain Leg types.

rateslib.periods.ZeroFixedPeriod(*[, ...])	A Period defined by a fixed interest rate, as a representation of multiple compounded Periods.
rateslib.periods.ZeroFloatPeriod(*[, ...])	A Period defined by compounded floating rate Periods.
rateslib.periods.MtmCashflow(*, payment, ...)	A Period defined by a specific amount calculated from the difference between two FXFixing.

Credit Periods

Credit periods provide the calculations for default protection and premium calculations using recovery rates and survivial probabilities defined by a Curve of hazard rates.

rateslib.periods.CreditPremiumPeriod(*, payment)	A Period defined by a fixed interest rate and contingent credit event.
rateslib.periods.CreditProtectionPeriod(*, ...)	A Period defined by a credit event and contingent notional payment.

FX Option Periods

Volatility periods provide the basic calculations for european options priced with Black-76 pricing formula.

rateslib.periods.FXCallPeriod(*, delivery, ...)	A Period defined by a European FX call option.
rateslib.periods.FXPutPeriod(*, delivery, ...)	A Period defined by a European FX put option.

Custom Periods and Objects

rateslib.periods._BasePeriod(*args, **kwargs)	Abstract base class for Period types.
rateslib.periods._BasePeriodStatic(*args, ...)	Abstract base class for Static Period types.
rateslib.periods._BaseFXOptionPeriod(*, ...)	Abstract base class for FXOptionPeriods types.

Protocols

Protocols define the functionality implemented into the objects.

rateslib.periods.protocols._WithNPV(*args, ...)	Protocol to define value of any Period type.
rateslib.periods.protocols._WithCashflows(...)	Protocol for parameter and calculation display for the Period.
rateslib.periods.protocols._WithFixings(...)	Protocol for determining fixing sensitivity for a Period with AD.
rateslib.periods.protocols._WithAnalyticDelta(...)	Protocol to establish analytical sensitivity to rate type metrics.
rateslib.periods.protocols._WithAnalyticRateFixings(...)	Protocol to derive a rate fixings sensitivity DataFrame.
rateslib.periods.protocols._WithAnalyticFXOptionGreeks(...)	Protocol to derive analytic FXOption greeks.
rateslib.periods.protocols._WithNPVStatic(...)	Protocol to establish value of any Static Period type.
rateslib.periods.protocols._WithCashflowsStatic(...)	Protocol for parameter and calculation display for the Static Period.
rateslib.periods.protocols._WithAnalyticDeltaStatic(...)	Protocol to establish analytical sensitivity to rate type metrics for Static Period types.
rateslib.periods.protocols._WithAnalyticRateFixingsStatic(...)	Protocol to derive an analytic rate fixings sensitivity DataFrame from pricing Curves.
rateslib.periods.protocols._WithIndexingStatic(...)	Protocol to provide indexation for Static Period types.
rateslib.periods.protocols._WithNonDeliverableStatic(...)	Protocol to provide non-deliverable conversion for Static Period types.

Parameters

rateslib.periods.parameters._IndexParams(*, ...)	Parameters for Period cashflows adjusted under some indexation.
rateslib.periods.parameters._SettlementParams(...)	Parameters for settlement of Period cashflows.
rateslib.periods.parameters._PeriodParams(...)	Parameters of Period cashflows associated with some Schedule.
rateslib.periods.parameters._FixedRateParams(...)	Parameters for a Period containing a fixed rate.
rateslib.periods.parameters._FloatRateParams(*, ...)	Parameters for a Period containing a floating rate.
rateslib.periods.parameters._NonDeliverableParams(...)	Parameters for determination of non-deliverable Period cashflows.
rateslib.periods.parameters._CreditParams(...)	Parameters for Period cashflows associated with credit events.
rateslib.periods.parameters._MtmParams(...)	Parameters for Period cashflows associated with multiple FXFixing.
rateslib.periods.parameters._FXOptionParams(...)	Parameters for FX Option Period cashflows.