_WithCashflows#

class rateslib.instruments.protocols._WithCashflows(*args, **kwargs)#

Bases: _WithPricingObjs, Protocol

Protocol to determine cashflows for any Instrument type.

Attributes Summary

kwargs

Methods Summary

`cashflows`(*[, curves, solver, fx, vol, ...])	Return aggregated cashflow data for the Instrument.
`cashflows_table`(*[, curves, solver, fx, ...])	Aggregate the values derived from a `cashflows()`, grouped by date, settlement currency and collateral.

Attributes Documentation

kwargs#

Methods Documentation

cashflows(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Return aggregated cashflow data for the Instrument.

Warning

This method is a convenience method to provide a visual representation of all associated calculation data. Calling this method to extract certain values should be avoided. It is more efficient to source relevant parameters or calculations from object attributes or other methods directly.

Examples

In [135]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", fixed_rate=1.0)

In [136]: irs.cashflows()
Out[136]: 
               Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End    DF      Cashflow   NPV  FX Rate Base Ccy NPV Ccy Collateral  Rate  Spread
leg1 0  FixedPeriod  USD 2001-01-04  1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None -10138.888889  None      1.0      USD    None       None   1.0     NaN
     1  FixedPeriod  USD 2002-01-04  1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None -10138.888889  None      1.0      USD    None       None   1.0     NaN
     2  FixedPeriod  USD 2003-01-06  1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  None -10138.888889  None      1.0      USD    None       None   1.0     NaN
leg2 0  FloatPeriod  USD 2001-01-04 -1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  None           NaN  None      1.0      USD    None       None   NaN     0.0
     1  FloatPeriod  USD 2002-01-04 -1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  None           NaN  None      1.0      USD    None       None   NaN     0.0
     2  FloatPeriod  USD 2003-01-06 -1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  None           NaN  None      1.0      USD    None       None   NaN     0.0

Providing relevant pricing objects will ensure all data that can be calculated is returned.

In [137]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [138]: irs.cashflows(curves=[curve])
Out[138]: 
               Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End        DF      Cashflow           NPV  FX Rate Base Ccy       NPV Ccy Collateral      Rate  Spread
leg1 0  FixedPeriod  USD 2001-01-04  1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  0.971359 -10138.888889  -9848.496702      1.0      USD  -9848.496702       None  1.000000     NaN
     1  FixedPeriod  USD 2002-01-04  1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  0.943835 -10138.888889  -9569.435745      1.0      USD  -9569.435745       None  1.000000     NaN
     2  FixedPeriod  USD 2003-01-06  1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  0.916946 -10138.888889  -9296.817681      1.0      USD  -9296.817681       None  1.000000     NaN
leg2 0  FloatPeriod  USD 2001-01-04 -1000000.0  Regular     Act360  1.013889 2000-01-03 2001-01-02  0.971359  29161.694029  28326.461668      1.0      USD  28326.461668       None  2.876222     0.0
     1  FloatPeriod  USD 2002-01-04 -1000000.0  Regular     Act360  1.013889 2001-01-02 2002-01-02  0.943835  29161.694029  27523.820438      1.0      USD  27523.820438       None  2.876222     0.0
     2  FloatPeriod  USD 2003-01-06 -1000000.0  Regular     Act360  1.013889 2002-01-02 2003-01-02  0.916946  29161.694029  26739.710399      1.0      USD  26739.710399       None  2.876222     0.0

Parameters:

curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.
solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.
fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.
vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.
base (str, optional (set to settlement currency)) – 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:

DataFrame

cashflows_table(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Aggregate the values derived from a cashflows(), grouped by date, settlement currency and collateral.