CustomLeg

class rateslib.legs.CustomLeg(periods)

Bases: BaseLeg

Create a leg contained of user specified Periods.

Useful for crafting amortising swaps with custom notional and date schedules.

Parameters:

periods (iterable of Period types) – A sequence of Periods to attach to the leg.

periods

Type:

list[Periods]

Examples

In [1]: fp1 = FixedPeriod(dt(2021,1,1), dt(2021,7,1), dt(2021,7,2), "Q", 1e6, "Act365F", fixed_rate=2.10)

In [2]: fp2 = FixedPeriod(dt(2021,3,7), dt(2021,9,7), dt(2021,9,8), "Q", -5e6, "Act365F", fixed_rate=3.10)

In [3]: custom_leg = CustomLeg(periods=[fp1, fp2])

In [4]: custom_leg.cashflows(curve)
Out[4]: 
          Type   Period      Ccy  Acc Start    Acc End    Payment Convention       DCF   Notional        DF Collateral  Rate Spread      Cashflow           NPV  FX Rate       NPV Ccy
0  FixedPeriod  Regular  ACT365F 2021-01-01 2021-07-01 2021-07-02     Act360  0.502778  1000000.0  0.977056       None   2.1   None -10558.333333 -10316.081105      1.0 -10316.081105
1  FixedPeriod  Regular  ACT365F 2021-03-07 2021-09-07 2021-09-08     Act360  0.511111 -5000000.0  0.968619       None   3.1   None  79222.222222  76736.151345      1.0  76736.151345

Methods Summary

analytic_delta(*args, **kwargs)	Return the analytic delta of the CustomLeg via summing all periods.
cashflows(*args, **kwargs)	Return the properties of the CustomLeg used in calculating cashflows.
npv(*args, **kwargs)	Return the NPV of the CustomLeg via summing all periods.

Methods Documentation

analytic_delta(*args, **kwargs)

Return the analytic delta of the CustomLeg via summing all periods.

For arguments see BasePeriod.analytic_delta().

cashflows(*args, **kwargs)

Return the properties of the CustomLeg used in calculating cashflows.

For arguments see BasePeriod.cashflows().

npv(*args, **kwargs)

Return the NPV of the CustomLeg via summing all periods.

For arguments see BasePeriod.npv().