Ois Basis Swap
financepy.products.rates.ois_basis_swap
Classes
OISBasisSwap
OISBasisSwap(effective_dt: financepy.utils.date.Date, term_dt_or_tenor: financepy.utils.date.Date | str, ibor_type: financepy.utils.global_types.SwapTypes, ibor_freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, ibor_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.THIRTY_E_360: 2>, ibor_spread: float = 0.0, ois_freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, ois_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.THIRTY_E_360: 2>, ois_spread: float = 0.0, ois_payment_lag: int = 0, notional: float = 1000000, 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>)
Class for managing an Ibor-OIS basis swap contract. This is a
contract in which a floating leg with one LIBOR tenor is exchanged for a
floating leg payment of an overnight index swap. There is no exchange of
par. The contract is entered into at zero initial cost. The contract lasts
from a start 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 is separate from the 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_ibor_curve: financepy.market.curves.discount_curve.DiscountCurve = None, index_ois_curve: 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_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.