NonDeliverableCashflow#

class rateslib.periods.NonDeliverableCashflow(notional, currency, payment, settlement_currency, fixing_date, fx_fixing=NoInput.blank, reversed=False)#

Bases: object

Create a cashflow amount associated with a non-deliverable FX forward.

Parameters:

notional (float, Dual, Dual2) – The notional amount of the cashflow expressed in units of the currency,
currency (str) – The non-deliverable reference currency (3-digit code), e.g. “brl”.
payment (datetime) – The settlement date of the exchange.
settlement_currency (str) – The currency of the deliverable currency (3-digit code), e.g. “usd” or “eur”.
fixing_date (datetime) – The date on which the FX fixings will be recorded.
fx_fixing (float, Dual, Dual2, optional) – The FX fixing to determine the settlement amount. The reference currency should be the left hand side, e.g. BRLUSD, unless reversed in which case should be right hand side, e.g. USDBRL.
reversed (bool, optional) – If True reverses the FX rate, as shown above.

Notes

The cashflow is defined as follows;

\[C = - N f\]

where \(f\) is the fx_fixing (or derivable FX fixing if reversed) or market forecast rate at settlement. This amount is expressed in units of settlement_currency.

The npv() is defined in settlement_currency terms as;

\[P = Cv(m) = - N f v(m)\]

The analytic_delta() is defined as;

\[A = 0\]

Example

In [1]: ndc = NonDeliverableCashflow(
   ...:     notional=10e6,  # <- this is BRL amount
   ...:     currency="brl",
   ...:     payment=dt(2025, 6, 1),
   ...:     settlement_currency="usd",
   ...:     fixing_date=dt(2025, 5, 29),  # <- for the BRLUSD FX rate
   ...: )
   ...: 

In [2]: ndc.cashflows()
Out[2]: 
{'Type': 'NonDeliverableCashflow',
 'Period': 'BRLUSD',
 'Ccy': 'USD',
 'Payment': datetime.datetime(2025, 6, 1, 0, 0),
 'Notional': 10000000.0,
 'DF': None,
 'Rate': None,
 'Cashflow': None,
 'NPV': None,
 'FX Rate': 1.0,
 'NPV Ccy': None,
 'Collateral': None}

In [3]: ndc = NonDeliverableCashflow(
   ...:     notional=2e6,  # <- this is USD amount
   ...:     currency="brl",
   ...:     payment=dt(2025, 6, 1),
   ...:     settlement_currency="usd",
   ...:     fixing_date=dt(2025, 5, 29),  # <- this is USDBRL FX rate
   ...:     reversed=True,
   ...: )
   ...: 

In [4]: ndc.cashflows()
Out[4]: 
{'Type': 'NonDeliverableCashflow',
 'Period': 'USDBRL',
 'Ccy': 'USD',
 'Payment': datetime.datetime(2025, 6, 1, 0, 0),
 'Notional': 2000000.0,
 'DF': None,
 'Rate': None,
 'Cashflow': None,
 'NPV': None,
 'FX Rate': 1.0,
 'NPV Ccy': None,
 'Collateral': None}

Methods Summary

`analytic_delta`([curve, disc_curve, fx, base])	Return the analytic delta of the NonDeliverableCashflow.
`cashflow`(fx)	Determine the cashflow amount, expressed in the `settlement_currency`.
`cashflows`([curve, disc_curve, fx, base])	Return the cashflows of the NonDeliverableCashflow.
`npv`([curve, disc_curve, fx, base, local])	Return the NPV of the NonDeliverableCashflow.
`rate`(fx)

Methods Documentation

analytic_delta(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#: Return the analytic delta of the NonDeliverableCashflow. See BasePeriod.analytic_delta()

cashflow(fx)#

Determine the cashflow amount, expressed in the settlement_currency.

Parameters:: fx (FXForwards, optional) – Required to forecast the FX rate at settlement, if an fx_fixing is not known.
Return type:: float, Dual, Dual2

cashflows(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)#: Return the cashflows of the NonDeliverableCashflow. See BasePeriod.cashflows()

npv(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False)#: Return the NPV of the NonDeliverableCashflow. See BasePeriod.npv()

rate(fx)#

NonDeliverableCashflow#

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