Utilities and Instrument Combinations

Combinations

Combinations allow common interbank traded structures to be created inside containers. These can then also be used as an input to a Solver for Curve/Surface calibration.

rateslib.instruments.Spread(instrument1, ...)	A spread instrument defined as the difference in rate between two Instruments.
rateslib.instruments.Fly(instrument1, ...)	A butterfly instrument which is, mechanically, the spread of two spread instruments.
rateslib.instruments.Portfolio(instruments)	Create a collection of Instruments to group metrics

Utilities

The Value and VolValue class serve as null Instruments, whose purpose is to directly parametrize a Curve, FXDeltaVolSmile or FXDeltaVolSurface via a Solver, without complicated Instrument construction.

rateslib.instruments.Value(effective[, ...])	A null Instrument which can be used within a Solver to directly parametrise a Curve node, via some calculated value.
rateslib.instruments.VolValue(index_value[, ...])	A null Instrument which can be used within a Solver to directly parametrise a Vol node, via some calculated metric.

As an example the cookbook article ‘Constructing Curves from (CC) Zero Rates’ shows how to use a Value (defined as a continuously compounded zero rate) to calibrate a Curve.