Ibor Basis Swap
financepy.products.rates.ibor_basis_swap
Classes
IborBasisSwap
IborBasisSwap(effective_dt: financepy.utils.date.Date, term_dt_or_tenor: financepy.utils.date.Date | str, leg_1_type: financepy.utils.global_types.SwapTypes, leg_1_freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, leg_1_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.THIRTY_E_360: 2>, leg_1_spread: float = 0.0, leg_2_freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, leg_2_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.THIRTY_E_360: 2>, leg_2_spread: float = 0.0, notional: float = 1000000, cal_type: financepy.utils.calendar.CalendarTypes | list | tuple = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>, dg_type: financepy.utils.calendar.DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>)
Class for managing an Ibor-Ibor basis swap contract. This is a
contract in which a floating leg with one LIBOR tenor is exchanged for a
floating leg payment in a different LIBOR tenor. There is no exchange of
par. The contract is entered into at zero initial cost. The contract lasts
from an effective date to a specified maturity date.
The value of the contract is the NPV of the two coupon streams. Discounting
is done on a supplied discount curve which can be different from the two
index discount from which the implied index rates are extracted.
Methods
value
value(self, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, index_curve_leg_1: financepy.market.curves.discount_curve.DiscountCurve = None, index_curve_leg_2: financepy.market.curves.discount_curve.DiscountCurve = None, first_fixing_rate_leg_1=None, first_fixing_rate_leg_2=None)
Value the interest rate swap on a value date given a single Ibor
discount curve and an index curve for the Ibors on each swap leg.
print_float_leg_1_pv
print_float_leg_1_pv(self)
Prints the fixed leg amounts without any valuation details. Shows
the dates and sizes of the promised fixed leg flows.
print_float_leg_2_pv
print_float_leg_2_pv(self)
Prints the fixed leg amounts without any valuation details. Shows
the dates and sizes of the promised fixed leg flows.
print_payments
print_payments(self)
Prints the fixed leg amounts without any valuation details. Shows
the dates and sizes of the promised fixed leg flows.
Generated automatically from the FinancePy source code.
Do not edit this file manually.