Ibor Swap
financepy.products.rates.ibor_swap
Classes
IborSwap
IborSwap(effective_dt: financepy.utils.date.Date, term_dt_or_tenor: financepy.utils.date.Date | str, fixed_leg_type: financepy.utils.global_types.SwapTypes, fixed_cpn: float, fixed_freq_type: financepy.utils.frequency.FrequencyTypes, fixed_dc_type: financepy.utils.day_count.DayCountTypes, notional: float = 1000000, float_spread: float = 0.0, float_freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, float_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.THIRTY_E_360: 2>, cal_type: financepy.utils.calendar.CalendarTypes = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>, dg_type: financepy.utils.calendar.DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>, end_of_month: bool = False)
Class for managing a standard Fixed vs IBOR swap. This is a contract
in which a fixed payment leg is exchanged for a series of floating rates
payments linked to some IBOR index rate. There is no exchange of principal.
The contract is entered into at zero initial cost. The contract lasts from
a start date to a specified maturity date.
The floating rate is not known fully until the end of the preceding payment
period. It is set in advance and paid in arrears.
The value of the contract is the NPV of the two cpn streams. Discounting
is done on a supplied discount curve which is separate from the curve from
which the implied index rates are extracted.
Methods
get_fixed_rate
get_fixed_rate(self)
easy read access to the coupon (fixed rate)
set_fixed_rate
set_fixed_rate(self, new_rate: float)
Sometimes we need to reset the coupon (fixed rate)
This function updates caches that depend on it
set_fixed_rate_to_atm
set_fixed_rate_to_atm(self, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, index_curve: financepy.market.curves.discount_curve.DiscountCurve = None, first_fixing: float = None)
Reset fixed rate to atm given curve(s). returns the new atm
value
value(self, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, index_curve: financepy.market.curves.discount_curve.DiscountCurve = None, first_fixing_rate=None, pv_only=True)
Value the interest rate swap on a value date given a single Ibor
discount 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, first_fixing_rate=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 the output dictionary to have the same labels for different bechmarks
(depos, fras, swaps) because we want to present them together so please
do not stick new outputs into one of them only
pv01
pv01(self, value_dt, discount_curve)
Calculate the value of 1 basis point coupon on the fixed leg.
swap_rate
swap_rate(self, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, index_curve: financepy.market.curves.discount_curve.DiscountCurve = None, first_fixing: float = None)
Calculate the fixed leg cpn that makes the swap worth zero.
If the valuation date is before the swap payments start then this
is the forward swap rate as it starts in the future. The swap rate
is then a forward swap rate and so we use a forward discount
factor. If the swap fixed leg has begun then we have a spot
starting swap. The swap rate can also be calculated in a dual curve
approach but in this case the first fixing on the floating leg is
needed.
cash_settled_pv01
cash_settled_pv01(self, value_dt, flat_swap_rate, freq_type)
Calculate the forward value of an annuity of a forward starting
swap using a single flat discount rate equal to the swap rate. This is
used in the pricing of a cash-settled swaption in the IborSwaption
class. This method does not affect the standard valuation methods.
print_fixed_leg_pv
print_fixed_leg_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_pv
print_float_leg_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.
macaulay_duration
macaulay_duration(self, value_dt, discount_curve, swap_type, payment_periods: float)
Calculation of the Macaulay Duration in an Interest Rate Swap
Based on Bond Math: The Theory Behind the Formulas, Second Edition by
Donald J. Smith
modified_duration
modified_duration(self, value_dt, discount_curve, swap_type, payment_periods: float)
Computation of the Modified Duration for the Fixed-Rate
Payer's Perspective in Interest Rate Swap
change_in_market_value
change_in_market_value(self, value_dt, discount_curve, swap_type, payment_periods: float, swap_rate_changes: float)
Computation of the Profits for the Fixed-Rate Payer's Perspective in Interest Rate Swap
basis_point_value
basis_point_value(self, value_dt, discount_curve, swap_type, payment_periods: float)
calculate the basis‐point‐value (BPV) of the swap,
which is swap's modified duration times the notional principal,
times one basis point (0.0001)
Generated automatically from the FinancePy source code.
Do not edit this file manually.