Interest Rate Instruments

This section contains financial instruments w.r.t. interest rates whose credit component is x.

Forward Rate Agreement

class rivapy.instruments.fra_specifications.ForwardRateAgreementSpecification(obj_id: str, trade_date: date | datetime, notional: float, rate: float, start_date: date | datetime, end_date: date | datetime, udlID: str, rate_start_date: date | datetime, rate_end_date: date | datetime, maturity_date: date | datetime = None, day_count_convention: DayCounterType | str = DayCounterType.ThirtyU360, business_day_convention: RollConvention | str = RollConvention.FOLLOWING, rate_day_count_convention: DayCounterType | str = DayCounterType.ThirtyU360, rate_business_day_convention: RollConvention | str = RollConvention.FOLLOWING, calendar: HolidayBase | str = None, currency: Currency | str = 'EUR', payment_days: int = 0, spot_days: int = 2, start_period: int = None, end_period: int = None, ir_index: str = None, issuer: Issuer | str | None = None, securitization_level: SecuritizationLevel | str = SecuritizationLevel.NONE, rating: Rating | str = Rating.NONE)[source]

Constructor for Forward Rate Agreement specification.

Parameters:

obj_id (str) – (Preferably) Unique label of the FRA
trade_date (_Union[date, datetime]) – FRA Trade date.
maturity_date (_Union[date, datetime]) – FRA’s maturity/expiry date. Must lie after the trade_date.
notional (float, optional) – Fra’s notional/face value. Must be positive.
rate (float) – Agreed upon forward rate, a.k.a. FRA rate.
start_date (_Union[date, datetime]) – start date of the interest rate (FRA_rate) reference period from which interest is accrued.
end_date (_Union[date, datetime]) – end date of the interest rate (FRA_rate) reference period from which interest is accrued.
udlID (str) – ID of the underlying Index rate used for the floating rate for fixing.
rate_start_date (_Union[date, datetime]) – start date of fixing period for the floating rate
rate_end_date (_Union[date, datetime]) – end date of fixing period for the floating rate
day_count_convention (Union[DayCounter, str], optional) – Day count convention for determining period length. Defaults to DayCounter.ThirtyU360.
business_day_convention (Union[RollConvention, str], optional) – Set of rules defining the adjustment of days to ensure each date being a business day with respect to a given holiday calendar. Defaults to RollConvention.FOLLOWING
rate_day_count_convention (Union[DayCounter, str], optional) – Day count convention for determining period length. Defaults to DayCounter.ThirtyU360.
rate_business_day_convention (Union[RollConvention, str], optional) – Set of rules defining the adjustment of days to ensure each date being a business day with respect to a given holiday calendar. Defaults to RollConvention.FOLLOWING
calendar (Union[HolidayBase, str], optional) – Holiday calendar defining the bank holidays of a country or province (but not all non-business days as for example Saturdays and Sundays). Defaults (through constructor) to holidays.ECB (= Target2 calendar) between start_day and end_day.
currency (str, optional) – Currency as alphabetic, Defaults to ‘EUR’.
payment_days (int) – Number of days for payment after the start date. Defaults to 0.
spot_days (int) – time difference between fixing date and start dategiven in days.
start_period (int) – forward start period given in months e.g. 1 from 1Mx4M
end_period (int) – forward end period given in months e.g. 4 from 1Mx4M
ir_index (str) – ID of the underlying Index rate used for the floating rate for fixing.
issuer (str, optional) – Name/id of issuer. Defaults to None.
securitization_level (_Union[SecuritizationLevel, str], optional) – Securitization level. Defaults to None.
rating (_Union[Rating, str]) – Paper rating.

static _create_sample(n_samples: int, seed: int = None, ref_date=None, issuers: List[str] = None, sec_levels: List[str] = None, currencies: List[str] = None) → List[ForwardRateAgreementSpecification][source]

Create a random sample of multiple instruments of this type with varied specification parameters.

Parameters:

n_samples (int) – The number of desired sample objects
seed (int, optional) – Seed number to allow repeated result. Defaults to None.
ref_date (_type_, optional) – Reference date . Defaults to None.
issuers (_List[str], optional) – list of issuers. Defaults to None.
sec_levels (_List[str], optional) – list of possible securitization levels. Defaults to None.
currencies (_List[str], optional) – list of possible currencies used. Defaults to None.

Returns:

where each entry is a dict representing with the information needed to specify an instrument.

Return type:

_List[ForwardRateAgreementSpecification]

property business_day_convention: str

Getter for FRA’s underlying rate’s business_day_convention.

Returns:: FRA’s underlying rate’s business_day_convention.
Return type:: str

property calendar

Calender used for this instrument

Returns:: _description_
Return type:: _type_

property currency: str

Getter for FRA’s currency.

Returns:: FRA’s currency code
Return type:: str

property day_count_convention: str

Getter for FRA’s day count convention.

Returns:: FRA’s day count convention.
Return type:: str

property end_date: date

Getter for FRA’s end date.

Returns:: FRA’s end date.
Return type:: date

property end_period: int

Getter for the spot lag

Returns:: _description_
Return type:: float

get_end_date()[source]

get_schedule() → Schedule[source]: Returns the schedule of the accrual periods of the instrument.

property index: str

Getter for the underlying Index rate used for the floating rate for fixing.

Returns:: _description_
Return type:: str

ins_type()[source]

Return instrument type

Returns:: Forward rate agreement
Return type:: Instrument

property issuer: str

Getter for instrument’s issuer.

Returns:: Instrument’s issuer.
Return type:: str

property maturity_date: date

Getter for FRA’s maturity date.

Returns:: FRA’s maturity date.
Return type:: date

property notional: float

Getter for FRA’s face value.

Returns:: FRA’s face value.
Return type:: float

property payment_days: int

Getter for the number of settlement days.

Returns:: Number of settlement days.
Return type:: int

property rate: float

Getter for instrument’s rate.

Returns:: Instrument’s rate.
Return type:: float

property rate_business_day_convention: str

Getter for FRA’s underlying rate’s business_day_convention.

Returns:: FRA’s underlying rate’s business_day_convention.
Return type:: str

property rate_day_count_convention: str

Getter for FRA’s underlying rate’s day count convention.

Returns:: FRA’s underlying rate’s day count convention.
Return type:: str

property rate_end_date: date

Getter for FRA’s end date.

Returns:: FRA’s end date.
Return type:: date

property rate_start_date: date

Getter for FRA’s start date.

Returns:: FRA’s start date.
Return type:: date

property rating: str

Getter for instrument’s rating.

Returns:: instrument’s rating
Return type:: str

property securitization_level: str

Getter for instrument’s securitisation level.

Returns:: Instrument’s securitisation level.
Return type:: str

property spot_days: int

Getter for the spot lag given in days

Returns:: _description_
Return type:: float

property start_date: date

Getter for FRA’s start date.

Returns:: FRA’s start date.
Return type:: date

property start_period: int

Getter for the start period, given in Months

Returns:: _description_
Return type:: float

property trade_date: date

Getter for FRA’s issue date.

Returns:: FRA’s issue date.
Return type:: date

property udlID: str

Getter for ID of the instruments underlying.

Returns:: Instrument’s udlID.
Return type:: str

Interest

class rivapy.instruments.ir_swap_specification.InterestRateSwapSpecification(obj_id: str, notional: float | NotionalStructure, issue_date: date | datetime, maturity_date: date | datetime, pay_leg: IrFixedLegSpecification | IrFloatLegSpecification | IrOISLegSpecification, receive_leg: IrFixedLegSpecification | IrFloatLegSpecification | IrOISLegSpecification, currency: Currency | str = 'EUR', calendar: HolidayBase | str = None, day_count_convention: DayCounterType | str = DayCounterType.ThirtyU360, business_day_convention: RollConvention | str = RollConvention.FOLLOWING, issuer: str = None, securitization_level: SecuritizationLevel | str = SecuritizationLevel.NONE, rating: Rating | str = Rating.NONE)[source]

Specification of the entire swap, encapsulating both the pay leg and the receive leg.

Parameters:

obj_id (str) – _description_
notional (_Union[float, NotionalStructure]) – _description_
issue_date (_Union[date, datetime]) – _description_
maturity_date (_Union[date, datetime]) – _description_
pay_leg (_Union[IrFixedLegSpecification, IrFloatLegSpecification]) – _description_
receive_leg (_Union[IrFixedLegSpecification, IrFloatLegSpecification]) – _description_
currency (_Union[Currency, str], optional) – _description_. Defaults to “EUR”.
calendar (_Union[_HolidayBase, str], optional) – _description_. Defaults to None.
day_count_convention (_Union[DayCounterType, str], optional) – _description_. Defaults to DayCounterType.ThirtyU360.
business_day_convention (_Union[RollConvention, str], optional) – _description_. Defaults to RollConvention.FOLLOWING.
issuer (str, optional) – _description_. Defaults to None.
securitization_level (_Union[SecuritizationLevel, str], optional) – _description_. Defaults to SecuritizationLevel.NONE.
rating (_Union[Rating, str], optional) – _description_. Defaults to Rating.NONE.

static _create_sample(n_samples: int, seed: int = None, ref_date=None, issuers: List[str] = None, sec_levels: List[str] = None, currencies: List[str] = None) → List[InterestRateSwapSpecification][source]

property currency: str

Getter for IR swap’s currency.

Returns:: IR swap’s ISO 4217 currency code
Return type:: str

get_end_date()[source]

get_fixed_leg()[source]: get the fixed leg (only possible for fixed vs. floating swaps -> throws otherwise)

get_float_leg()[source]: get the float leg (only possible for fixed vs. floating swaps -> throws otherwise)

get_pay_leg()[source]

get_receive_leg()[source]

ins_type()[source]

Return instrument type

Returns:: Interest Rate Swap
Return type:: Instrument

property issue_date: date

Getter for IR swap’s issue date.

Returns:: IR swap’s issue date.
Return type:: date

property issuer: str

Getter for instrument’s issuer.

Returns:: Instrument’s issuer.
Return type:: str

property maturity_date: date

Getter for IR swap’s maturity date.

Returns:: IR swap’s maturity date.
Return type:: date

property notional_structure: NotionalStructure

Return the notionals

Returns:: class object detailing the notionals, start dates, …
Return type:: NotionalStructure

property rating: str

property securitization_level: str

Getter for instrument’s securitisation level.

Returns:: Instrument’s securitisation level.
Return type:: str