Swap Fixed Leg
financepy.products.rates.swap_fixed_leg
Classes
SwapFixedLeg
SwapFixedLeg(effective_dt: financepy.utils.date.Date, end_dt: financepy.utils.date.Date | str, leg_type: financepy.utils.global_types.SwapTypes, coupon: float, freq_type: financepy.utils.frequency.FrequencyTypes, accrual_dc_type: financepy.utils.day_count.DayCountTypes, notional: float = 1000000, principal: float = 0.0, payment_lag: int = 0, 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 the fixed leg of a swap. A fixed leg is a leg with
a sequence of flows calculated according to an ISDA schedule and with a
coupon that is fixed over the life of the swap.
Methods
generate_payments
generate_payments(self)
These are generated immediately as they are for the entire
life of the swap. Given a valuation date we can determine
which cash flows are in the future and value the swap
The schedule allows for a specified lag in the payment date
Nothing is paid on the swap effective date and so the first payment
date is the first actual payment date.
value
value(self, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, pv_only=True)
No description available.
print_payments
print_payments(self)
Prints the fixed leg dates, accrual factors, discount factors,
cash amounts, their present value and their cumulative PV using the
last valuation performed.
print_valuation
print_valuation(self)
Prints the fixed leg dates, accrual factors, discount factors,
cash amounts, their present value and their cumulative PV using the
last valuation performed.
Generated automatically from the FinancePy source code.
Do not edit this file manually.