Utilities and Instrument Combinations

Combinations

Combinations allow common interbank traded structures to be created inside containers. These can then also be used as an input to a Solver for Curve/Surface calibration.

rateslib.instruments.Spread(instrument1, ...)	A Spread of _BaseInstrument.
rateslib.instruments.Fly(instrument1, ...)	A Butterfly of _BaseInstrument.
rateslib.instruments.Portfolio(instruments)	A collection of _BaseInstrument.

Utilities

The Value and FXVolValue class serve as null Instruments, whose purpose is to directly parametrize a Curve, FXVolSmile or FXVolSurface via a Solver, without Instrument construction.

rateslib.instruments.Value(effective, *[, ...])	A pseudo Instrument used to calibrate a Curve within a Solver.
rateslib.instruments.FXVolValue(index_value)	A pseudo Instrument used to calibrate an FX Vol Object within a Solver.

As an example the cookbook article ‘Constructing Curves from (CC) Zero Rates’ shows how to use a Value (defined as a continuously compounded zero rate) to calibrate a Curve.