FloatLeg#

class rateslib.legs.FloatLeg(schedule, *, notional=NoInput.blank, amortization=NoInput.blank, currency=NoInput.blank, pair=NoInput.blank, fx_fixings=NoInput.blank, mtm=LegMtm.Initial, convention=NoInput.blank, initial_exchange=False, final_exchange=False, float_spread=NoInput.blank, rate_fixings=NoInput.blank, fixing_method=NoInput.blank, spread_compound_method=NoInput.blank, fixing_frequency=NoInput.blank, fixing_series=NoInput.blank, zero_periods=NoInput.blank, index_base=NoInput.blank, index_lag=NoInput.blank, index_method=NoInput.blank, index_fixings=NoInput.blank)#

Bases: _BaseLeg, _WithExDiv

A Leg containing FloatPeriod.

Examples

In [1]: fl = FloatLeg(
   ...:     schedule=Schedule(
   ...:          effective=dt(2000, 2, 1),
   ...:          termination=dt(2002, 2, 1),
   ...:          frequency="S",
   ...:     ),
   ...:     convention="Act360",
   ...:     float_spread=25.0,
   ...:     notional=10e6,
   ...: )
   ...: 

In [2]: fl.cashflows()
Out[2]: 
          Type  Ccy    Payment    Notional   Period Convention       DCF  Acc Start    Acc End    DF Cashflow   NPV  FX Rate Base Ccy NPV Ccy Collateral  Rate  Spread
0  FloatPeriod  USD 2000-08-03  10000000.0  Regular     Act360  0.505556 2000-02-01 2000-08-01  None     None  None      1.0      USD    None       None  None    25.0
1  FloatPeriod  USD 2001-02-03  10000000.0  Regular     Act360  0.511111 2000-08-01 2001-02-01  None     None  None      1.0      USD    None       None  None    25.0
2  FloatPeriod  USD 2001-08-03  10000000.0  Regular     Act360  0.502778 2001-02-01 2001-08-01  None     None  None      1.0      USD    None       None  None    25.0
3  FloatPeriod  USD 2002-02-03  10000000.0  Regular     Act360  0.511111 2001-08-01 2002-02-01  None     None  None      1.0      USD    None       None  None    25.0

Parameters:

schedule (Schedule, required) –
The Schedule object which structures contiguous Periods. The schedule object also contains data for payment dates, payment dates for notional exchanges and ex-dividend dates for each period.

Note

The following define generalised settlement parameters.
currency (str, optional (set by ‘defaults’)) – The local settlement currency of the leg (3-digit code).
notional (float, Dual, Dual2, Variable, optional (set by ‘defaults’)) – The initial leg notional, defined in units of reference currency.
amortization (float, Dual, Dual2, Variable, str, Amortization, optional (set as zero)) – Set a non-constant notional per Period. If a scalar value, adjusts the notional of each successive period by that same value. Should have sign equal to that of notional if the notional is to reduce towards zero.
initial_exchange (bool, optional (set as False)) – Whether to also include an initial notional exchange. If True then final_exchange will also be set to True.
final_exchange (bool, optional (set as initial_exchange)) –
Whether to also include a final notional exchange and interim amortization notional exchanges.

Note

The following define non-deliverable parameters. If the Leg is directly deliverable then do not set a non-deliverable pair or any fx_fixings.
pair (FXIndex, str, optional) – The FXIndex for FXFixing defining the currency pair that determines Period settlement. The reference currency is implied from pair. Must include currency.
fx_fixings (float, Dual, Dual2, Variable, Series, str, 2-tuple or list, optional) –
The value of the FXFixing for each Period according to non-deliverability. Review the notes section non-deliverability on a FixedLeg, and see also fixings. This should only ever be entered as either:
- scalar value: 1.15,
- fixings series: “Reuters_ZBS”,
- tuple of transaction rate and fixing series: (1.25, “Reuters_ZBC”)
mtm (LegMtm or str, optional (set to ‘initial’)) –
Define how the fixing dates are determined for each FXFixing See Notes regarding non-deliverability.

Note

The following are period parameters combined with the schedule.
convention (str, optional (set by ‘defaults’)) –
The day count convention applied to calculations of period accrual dates. See dcf().

Note

The following define rate parameters.
fixing_method (FloatFixingMethod, str, optional (set by ‘defaults’)) – The FloatFixingMethod describing the determination of the floating rate for each period.
fixing_frequency (Frequency, str, optional (set by ‘frequency’ or ‘1B’)) – The Frequency as a component of the FloatRateIndex. If not given is assumed to match the frequency of the schedule for an IBOR type fixing_method or ‘1B’ if RFR type.
fixing_series (FloatRateSeries, str, optional (implied by other parameters)) – The FloatRateSeries as a component of the FloatRateIndex. If not given inherits attributes given such as the calendar, convention, fixing_method etc.
float_spread (float, Dual, Dual2, Variable, optional (set as 0.0)) – The amount (in bps) added to the rate in each period rate determination.
spread_compound_method (SpreadCompoundMethod, str, optional (set by ‘defaults’)) – The SpreadCompoundMethod used in the calculation of the period rate when combining a float_spread. Used only with (non-averaged) RFR type fixing_method, and when zero_periods is False.
rate_fixings (float, Dual, Dual2, Variable, Series, str, optional) – See Fixings. The value of the rate fixing. If a scalar, is used directly. If a string identifier, links to the central fixings object and data loader.
zero_periods (bool, optional (set as False)) –
If True a ZeroFloatPeriod is used as the regular period instead of a FloatPeriod. See notes.

Note

The following parameters define indexation. The Period will be considered indexed if any of index_method, index_lag, index_base, index_fixings are given.
index_method (IndexMethod, str, optional (set by ‘defaults’)) – The interpolation method, or otherwise, to determine index values from reference dates.
index_lag (int, optional (set by ‘defaults’)) – The indexation lag, in months, applied to the determination of index values.
index_base (float, Dual, Dual2, Variable, optional) – The specific value applied as the base index value for all Periods. If not given and index_fixings is a string fixings identifier that will be used to determine the base index value.
index_fixings (float, Dual, Dual2, Variable, Series, str, 2-tuple or list, optional) – The index value for the reference date. Best practice is to supply this value as string identifier relating to the global fixings object.
index_only (bool, optional (set as False)) – A flag which indicates that the nominal amount is deducted from the cashflow leaving only the indexed up quantity.

Notes

The various combinations of amortisation, non-deliverability, indexation, and notional exchanges are identical to, and demonstrated in the documentation for, a FixedLeg object.

Classifications

There are generally five types of index classification that can be constructed with this Leg.

To construct a standard RFR (otherwise known as OIS) type leg, use any of the non-averaging ‘RFR’ variants of the FloatFixingMethod for the fixing_method parameter.

Using this fixing_method the fixing_frequency is always assumed to be ‘1B’ for overnight (o/n) rates.

Any spread_compound_method can be used in combination with these fixing_method.

Each FloatPeriod has an RFR classification.

Below is an example of the conventional float leg on a USD-SOFR IRS.

In [3]: rfr_standard = FloatLeg(
   ...:     schedule=Schedule(
   ...:         effective=dt(2026, 1, 22),
   ...:         termination="2Y",
   ...:         frequency="A",
   ...:         calendar="nyc",
   ...:         payment_lag=2
   ...:     ),
   ...:     convention="Act360",
   ...:     fixing_method="rfr_payment_delay",
   ...: )
   ...: 

In [4]: rfr_standard.cashflows(rate_curve=curve)
Out[4]: 
          Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End        DF      Cashflow           NPV  FX Rate Base Ccy       NPV Ccy Collateral      Rate  Spread
0  FloatPeriod  USD 2027-01-26  1000000.0  Regular     Act360  1.013889 2026-01-22 2027-01-22  0.948024 -51223.140636 -48560.744608      1.0      USD -48560.744608       None  5.052145     0.0
1  FloatPeriod  USD 2028-01-26  1000000.0  Regular     Act360  1.019444 2027-01-22 2028-01-24  0.901829 -51510.923595 -46454.047432      1.0      USD -46454.047432       None  5.052843     0.0

Warning

Do not use zero_periods in the construction of RFR type legs. Although it is, technically, possible to construct this type of Leg using zero_periods. Doing so creates an individual FloatPeriod for every single overnight RFR fixing making up each ZeroFloatPeriod. This is inefficient and removes other features.

To construct an RFR averaged type use an ‘average’ type variant of the FloatFixingMethod for the fixing_method parameter.

Each FloatPeriod has an average RFR classification.

Below is an example of the conventional float leg on an averaged USD-SOFR IRS.

In [5]: rfr_averaged = FloatLeg(
   ...:     schedule=Schedule(
   ...:         effective=dt(2026, 1, 22),
   ...:         termination="2Y",
   ...:         frequency="A",
   ...:         calendar="nyc",
   ...:         payment_lag=2
   ...:     ),
   ...:     convention="Act360",
   ...:     fixing_method="rfr_payment_delay_avg",
   ...: )
   ...: 

In [6]: rfr_averaged.cashflows(rate_curve=curve)
Out[6]: 
          Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End        DF      Cashflow           NPV  FX Rate Base Ccy       NPV Ccy Collateral      Rate  Spread
0  FloatPeriod  USD 2027-01-26  1000000.0  Regular     Act360  1.013889 2026-01-22 2027-01-22  0.948024 -49961.322740 -47364.511503      1.0      USD -47364.511503       None  4.927692     0.0
1  FloatPeriod  USD 2028-01-26  1000000.0  Regular     Act360  1.019444 2027-01-22 2028-01-24  0.901829 -50235.007899 -45303.389589      1.0      USD -45303.389589       None  4.927685     0.0

Warning

Rates are calculated directly from the provided rate_curve. There are no convexity adjustments applied to account for the difference between compounded numéraire and averaged result.

To construct a standard IBOR type leg use the ‘ibor’ variant of the FloatFixingMethod for the fixing_method parameter. The fixing_frequency defining tenor of the index will default to that of the schedule.

Each FloatPeriod has an IBOR or IBOR Stub classification. Stubs can only appear at the front or back of the Leg and depend upon the schedule directly identifying those periods as stubs.

Below is an example of a standard EURIBOR 3M float leg.

In [7]: ibor_standard = FloatLeg(
   ...:     schedule=Schedule(
   ...:         effective=dt(2026, 1, 22),
   ...:         termination="1Y",
   ...:         frequency="Q",
   ...:         calendar="tgt",
   ...:         payment_lag=0
   ...:     ),
   ...:     currency="eur",
   ...:     convention="Act360",
   ...:     fixing_method="ibor(2)",
   ...:     fixing_series="eur_ibor",
   ...: )
   ...: 

In [8]: ibor_standard.cashflows(rate_curve=curve)
Out[8]: 
          Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End        DF      Cashflow           NPV  FX Rate Base Ccy       NPV Ccy Collateral      Rate  Spread
0  FloatPeriod  EUR 2026-04-22  1000000.0  Regular     Act360  0.250000 2026-01-22 2026-04-22  0.984923 -12393.691930 -12206.834762      1.0      EUR -12206.834762       None  4.957477     0.0
1  FloatPeriod  EUR 2026-07-22  1000000.0  Regular     Act360  0.252778 2026-04-22 2026-07-22  0.972733 -12532.258949 -12190.537660      1.0      EUR -12190.537660       None  4.957817     0.0
2  FloatPeriod  EUR 2026-10-22  1000000.0  Regular     Act360  0.255556 2026-07-22 2026-10-22  0.960562 -12670.844935 -12171.126321      1.0      EUR -12171.126321       None  4.958157     0.0
3  FloatPeriod  EUR 2027-01-22  1000000.0  Regular     Act360  0.255556 2026-10-22 2027-01-22  0.948543 -12670.844935 -12018.837495      1.0      EUR -12018.837495       None  4.958157     0.0

To construct a Leg with a different tenor IBOR index to that of the schedule, specify the fixing_frequency directly.

Each FloatPeriod has an Misaligned IBOR or IBOR Stub classification. Stubs can only appear at the front or back of the Leg and depend upon the schedule directly identifying those periods as stubs. Stub Periods will have the usual tenor interpolation applied, as with regular IBOR Legs, and does not factor the misalignment into the calculation.

Below is an example of a 1Y float leg with quarterly payments with each fixing to four distinct EURIBOR 6M rates.

In [9]: ibor_misaligned = FloatLeg(
   ...:     schedule=Schedule(
   ...:         effective=dt(2026, 1, 22),
   ...:         termination="1Y",
   ...:         frequency="Q",
   ...:         calendar="tgt",
   ...:         payment_lag=0,
   ...:     ),
   ...:     convention="Act360",
   ...:     fixing_method="ibor(2)",
   ...:     fixing_series="eur_ibor",
   ...:     fixing_frequency="S",  # <- frequency of fixing does not match schedule.
   ...: )
   ...: 

In [10]: ibor_misaligned.cashflows(rate_curve=curve)
Out[10]: 
          Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End        DF      Cashflow           NPV  FX Rate Base Ccy       NPV Ccy Collateral      Rate  Spread
0  FloatPeriod  USD 2026-04-22  1000000.0  Regular     Act360  0.250000 2026-01-22 2026-04-22  0.984923 -12471.350637 -12283.322624      1.0      USD -12283.322624       None  4.988540     0.0
1  FloatPeriod  USD 2026-07-22  1000000.0  Regular     Act360  0.252778 2026-04-22 2026-07-22  0.972733 -12611.654293 -12267.768104      1.0      USD -12267.768104       None  4.989226     0.0
2  FloatPeriod  USD 2026-10-22  1000000.0  Regular     Act360  0.255556 2026-07-22 2026-10-22  0.960562 -12751.120091 -12248.235548      1.0      USD -12248.235548       None  4.989569     0.0
3  FloatPeriod  USD 2027-01-22  1000000.0  Regular     Act360  0.255556 2026-10-22 2027-01-22  0.948543 -12749.367791 -12093.319777      1.0      USD -12093.319777       None  4.988883     0.0

To construct a Leg with multiple IBOR tenor indexes compounded over a single Period set zero_periods to True. Each Period will then be a ZeroFloatPeriod.

The sub- Schedule of each ZeroPeriod is defined by the start and end unadjusted accrual dates from the main schedule whose frequency is set by fixing_frequency.

Note the float_spread is added to each individual FloatPeriod and then all resultant rates are compounded to yield the final rate for the ZeroFloatPeriod.

Two use cases of this have been identified;

Legacy US-LIBOR single currency basis swaps where the 3M-LIBOR was compounded over a 6M period to net cashflows with the 6M Leg. An example is below:

In [11]: float_leg = FloatLeg(
   ....:     schedule=Schedule(
   ....:         effective=dt(2026, 1, 22),
   ....:         termination="1Y",
   ....:         frequency="S",
   ....:         calendar="nyc",
   ....:         payment_lag=0
   ....:     ),
   ....:     convention="Act360",
   ....:     fixing_series="usd_ibor",
   ....:     fixing_method="ibor(2)",
   ....:     zero_periods=True,
   ....:     fixing_frequency="Q",
   ....:     float_spread=75.0,
   ....: )
   ....: 

In [12]: float_leg.cashflows(rate_curve=curve)
Out[12]: 
              Type  Ccy    Payment   Notional   Period Convention       DCF  Acc Start    Acc End        DF      Cashflow           NPV  FX Rate Base Ccy       NPV Ccy Collateral      Rate  Spread
0  ZeroFloatPeriod  USD 2026-07-22  1000000.0  Regular     Act360  0.502778 2026-01-22 2026-07-22  0.972733 -28902.654216 -28114.555893      1.0      USD -28114.555893       None  5.748594    75.0
1  ZeroFloatPeriod  USD 2027-01-22  1000000.0  Regular     Act360  0.511111 2026-07-22 2027-01-22  0.948543 -29387.818698 -27875.600961      1.0      USD -27875.600961       None  5.749791    75.0

CNY IRS with quarterly payments setting to 7D tenor rate. Note that these periods are often not perfectly divisible, resulting in stub periods within each ZeroFloatPeriod. The position and treatment of these stubs can be controlled under the FloatRateSeries.

In [13]: float_leg = FloatLeg(
   ....:     schedule=Schedule(
   ....:         effective=dt(2026, 1, 21),
   ....:         termination=dt(2027, 1, 21),
   ....:         frequency="Q",
   ....:         calendar="bjs",
   ....:     ),
   ....:     currency="CNY",
   ....:     fixing_frequency="7d",
   ....:     fixing_method="ibor(1)",
   ....:     fixing_series=FloatRateSeries(
   ....:         lag=1,
   ....:         convention="Act365F",
   ....:         calendar="bjs",
   ....:         tenors=["7D"],
   ....:         zero_float_period_stub="shortback",
   ....:         modifier="F",
   ....:         eom=False,
   ....:     ),
   ....:     zero_periods=True,
   ....: )
   ....: 

The individual fixing dates of each of these 7D periods are stored on each rate fixing of each FloatPeriod.

In [14]: for float_period in float_leg.periods[0].float_periods:
   ....:     print(float_period.rate_params.rate_fixing.date)
   ....: 
2026-01-20 00:00:00
2026-01-27 00:00:00
2026-02-03 00:00:00
2026-02-10 00:00:00
2026-02-14 00:00:00
2026-02-24 00:00:00
2026-03-03 00:00:00
2026-03-10 00:00:00
2026-03-17 00:00:00
2026-03-24 00:00:00
2026-03-31 00:00:00
2026-04-07 00:00:00
2026-04-14 00:00:00

Attributes Summary

`amortization`	The `Amortization` object associated with the schedule.
`float_spread`	The float spread parameter of each composited `FloatPeriod`.
`periods`	A list of all contained Periods.
`rate_params`	The `_FloatRateParams` associated with the first `FloatPeriod`.
`schedule`	The `Schedule` object of Leg.
`settlement_params`	The `_SettlementParams` associated with the first `FloatPeriod`.

Methods Summary

`analytic_delta`(*[, rate_curve, index_curve, ...])	Calculate the analytic rate delta of a Period expressed in a base currency.
`cashflows`(*[, rate_curve, disc_curve, ...])	Return aggregated cashflow data for the Leg.
`ex_div`(settlement)	Return a boolean whether the security is ex-div at the given settlement.
`local_analytic_delta`([rate_curve, ...])	Calculate the analytic rate delta of a Period expressed in its local settlement currency.
`local_analytic_rate_fixings`(*[, rate_curve, ...])	Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in local settlement currency of the Period.
`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 Leg expressed 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 Leg derived using the given data state.
`spread`(*, target_npv[, rate_curve, ...])	Calculate a spread metric which when applied to the Leg allows it to attain the target value.

Attributes Documentation

amortization#: The Amortization object associated with the schedule.

float_spread#: The float spread parameter of each composited FloatPeriod.

periods#: A list of all contained Periods.

rate_params#: The _FloatRateParams associated with the first FloatPeriod.

schedule#: The Schedule object of Leg.

settlement_params#: The _SettlementParams associated with the first FloatPeriod.

Methods Documentation

analytic_delta(*, 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 analytic rate delta of a Period expressed in a base currency.

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) – 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:

float, Dual, Dual2, Variable

cashflows(*, rate_curve=NoInput.blank, disc_curve=NoInput.blank, index_curve=NoInput.blank, fx=NoInput.blank, fx_vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Return aggregated cashflow data for the Leg.

Warning

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

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 relevant values into.
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

ex_div(settlement)#

Return a boolean whether the security is ex-div at the given settlement.

Parameters:: settlement (datetime) – The settlement date to test.
Return type:: bool

Notes

Uses the UK DMO convention of returning False if settlement is on or before the ex-div date for a regular coupon period.

This is evaluated by analysing the attribute pschedule3 of the associated Schedule object of the Leg.

local_analytic_delta(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 analytic rate delta of a Period expressed in its local settlement currency.

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.
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:

float, Dual, Dual2, Variable

local_analytic_rate_fixings(*, 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)#

Return a DataFrame of financial sensitivity to published interest rate fixings, expressed in local settlement currency of the Period.

If the Period has no sensitivity to rates fixings this DataFrame is empty.

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.
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

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 Leg expressed in local settlement currency.

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.
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:

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.

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) – 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:

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 try_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 Leg derived using the given data state.

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.
Return type:: None

spread(*, target_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 a spread metric which when applied to the Leg allows it to attain the target value.

Parameters:

target_npv (DualTypes, required) – The target value of the Leg measured using all of the other given arguments. Must be expressed in local settlement currency units.
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.
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:

float, Dual, Dual2, Variable

FloatLeg#

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