FloatLegMtm#

class rateslib.legs.FloatLegMtm(*args, float_spread=NoInput.blank, fixings=NoInput.blank, fixing_method=NoInput.blank, method_param=NoInput.blank, spread_compound_method=NoInput.blank, **kwargs)#

Bases: _FloatLegMixin, BaseLegMtm

Create a leg of FloatPeriod s and initial, mtm and final Cashflow s.

Parameters:

  • args (dict) – Required positional args to BaseLeg.

  • float_spread (float or None) – The spread applied to determine cashflows. Can be set to None and designated later, perhaps after a mid-market spread for all periods has been calculated.

  • spread_compound_method (str, optional) – The method to use for adding a spread to compounded rates. Available options are {“none_simple”, “isda_compounding”, “isda_flat_compounding”}.

  • fixings (float or list, optional) – If a float scalar, will be applied as the determined fixing for the first whole period of the leg. If a list of n items, each successive item will be passed to the fixing argument of the first n periods of the leg. A list within the list is accepted if it contains a set of RFR fixings that will be applied to any individual RFR period.

  • fixing_method (str, optional) – The method by which floating rates are determined, set by default. See notes.

  • method_param (int, optional) – A parameter that is used for the various fixing_method s. See notes.

  • fx_fixings (float, Dual, Dual2, list of such) – Specify a known initial FX fixing or a list of such for historical legs. Fixings that are not specified will be calculated at pricing time with an FXForwards object.

  • alt_currency (str) – The alternative currency against which mark-to-market fixings and payments are made. This is considered as the domestic currency in FX fixings.

  • alt_notional (float, optional) – The notional of the alternative currency from which to calculate notional under the determined fx_fixings. If None sets a default for alt_notional.

  • kwargs (dict) – Required keyword arguments to BaseLeg.

Notes

Warning

amortization is currently not implemented for on FloatLegExchangeMtm.

notional is not used on an FloatLegMtm. It is determined from alt_notional under given fx_fixings.

currency and alt_currency are required in order to determine FX fixings from an FXForwards object at pricing time.

Examples

For an example see Mtm Legs.

Methods Summary

fixings_table(curve[, disc_curve, fx, base, ...])

Return a DataFrame of fixing exposures on a FloatLegMtm.

Methods Documentation

fixings_table(curve, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, approximate=False, right=NoInput.blank)#

Return a DataFrame of fixing exposures on a FloatLegMtm.

For arguments see FloatLeg.fixings_table().