_MtmParams#

class rateslib.periods.parameters._MtmParams(_fx_fixing_start, _fx_fixing_end, _currency)#

Bases: object

Parameters for Period cashflows associated with multiple FXFixing.

Parameters:

_fx_fixing_start (FXFixing) – The FXFixing that is determined at the start of the Period.
_fx_fixing_end (FXFixing) – The FXFixing that is determined at the end of the Period.
_currency (str) – The local settlement currency of the Period.

Attributes Summary

`currency`	The settlement currency of the period.
`fx_fixing_end`	The `FXFixing` measured at the end of the period.
`fx_fixing_start`	The `FXFixing` measured at the start of the period.
`fx_reversed`	Whether the `reference_currency` and `currency` are reversed in the `pair`.
`pair`	The pair that defines each `FXFixing`.
`reference_currency`	The reference currency of the period.

Methods Summary

Calculate the change between the FX fixing at the start and end of the period.

Attributes Documentation

fx_reversed#: Whether the reference_currency and currency are reversed in the pair.

Methods Documentation

try_fixing_change(fx)#: Calculate the change between the FX fixing at the start and end of the period.