Ibor Deposit
financepy.products.rates.ibor_deposit
Classes
IborDeposit
IborDeposit(start_dt: financepy.utils.date.Date, maturity_dt_or_tenor: financepy.utils.date.Date | str, deposit_rate: float, accrual_dc_type: financepy.utils.day_count.DayCountTypes, notional: float = 100.0, cal_type: financepy.utils.calendar.CalendarTypes = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.MODIFIED_FOLLOWING: 3>)
An Ibor deposit is an agreement to borrow money interbank at the Ibor
fixing rate starting on the start date and repaid on the maturity date
with the interest amount calculated according to a day count convention and
dates calculated according to a calendar and business day adjustment rule.
Care must be taken to calculate the correct start (settlement) date. Start
with the trade (value) date which is typically today, we may need to add on
a number of business days (spot days) to get to the settlement date. The
maturity date is then calculated by adding on the deposit tenor/term to the
settlement date and adjusting for weekends and holidays according to the
calendar and adjustment type.
Note that for over-night (ON) depos the settlement date is
today with maturity in one business day. For tomorrow-next (TN) depos the
settlement is in one business day with maturity on the following business
day. For later maturity deposits, settlement is usually in 1-3 business
days. The number of days depends on the currency and jurisdiction of the
deposit contract.
Methods
maturity_df
maturity_df(self)
Returns the maturity date discount factor that would allow the
Libor curve to reprice the contractual market deposit rate. Note that
this is a forward discount factor that starts on settlement date.
value
value(self, value_dt: financepy.utils.date.Date, libor_curve)
Determine the value of an existing Libor Deposit contract given a
valuation date and a Libor curve. This is simply the PV of the future
repayment plus interest discounted on the current Libor curve.
valuation_details
valuation_details(self, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, index_curve: financepy.market.curves.discount_curve.DiscountCurve = None)
A long-hand method that returns various details relevant to valuation
in a dictionary. Slower than value(...) so should not be used when
performance is important
We want thre output dictionary to have the same labels for different
benchmarks (depos, fras, swaps) because we want to present them
together so please do not stick new outputs into one of them only
TODO: make a test of this
print_payments
print_payments(self, value_dt: financepy.utils.date.Date)
Print the date and size of the future repayment.
Generated automatically from the FinancePy source code.
Do not edit this file manually.