fixed fixed x ccy swap

financepy.products.rates.swaps.fixed_fixed_x_ccy_swap

Class

FixedFixedXCcySwap

FixedFixedXCcySwap(
    effective_dt: Date,
    term_dt_or_tenor: Date | str,
    fixed_leg_type: SwapTypes,
    fixed_cpn: float,
    fixed_freq_type: FrequencyTypes,
    fixed_dc_type: DayCountTypes,
    float_spread: float = 0.0,
    float_freq_type: FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>,
    float_dc_type: DayCountTypes = <DayCountTypes.THIRTY_E_360: 2>,
    notional: float = 1000000,
    cal_type: CalendarTypes | list | tuple = <CalendarTypes.WEEKEND: 2>,
    bd_type: BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>,
    dg_type: DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>,
)

Class for managing a cross currency swap contract. This is a contract in which a fixed or floating payment leg in one currency is exchanged for a series of fixed or floating rates in a second currency. There is an exchange of par. The contract is entered into at zero initial cost and it lasts from a start date to a specified maturity date. The value of the contract is the NPV of the two cpn streams. Discounting is done on a supplied discount discount (one for each leg) is separate from the curve from which the implied index rates are extracted.

Methods

value


value(
    self,
    value_dt,
    discount_curve,
    index_curve,
    first_fixing_rate = None,
    principal = 0.0,
)

Value the interest rate swap on a value date given a single Ibor discount curve.

fixed_dts


fixed_dts(
    self,
)

return a vector of the fixed leg payment dates

float_dts


float_dts(
    self,
)

return a vector of the fixed leg payment dates

pv01


pv01(
    self,
    value_dt,
    discount_curve,
)

Calculate the value of 1 basis point cpn on the fixed leg.

swap_rate


swap_rate(
    self,
    value_dt,
    discount_curve,
)

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.

fixed_leg_value


fixed_leg_value(
    self,
    value_dt,
    discount_curve,
    principal = 0.0,
)

Calculate the present value of the fixed leg cash flows.

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.

float_leg_value


float_leg_value(
    self,
    value_dt,
    discount_curve,
    index_curve,
    first_fixing_rate = None,
    principal = 0.0,
)

Value the floating leg with payments from an index curve and discounting based on a supplied discount curve. The valuation date can be the today date. In this case the price of the floating leg will not be par (assuming we added on a principal repayment). This is only the case if we set the valuation date to be the swap's actual settlement date.

print_fixed_leg_pv


print_fixed_leg_pv(
    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_fixed_leg_flows


print_fixed_leg_flows(
    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 floating leg dates, accrual factors, discount factors, forward libor rates, implied 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.