Module: fixed_swap_leg

Expand source code

# Copyright (C) 2023-present The Project Contributors
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#    http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from dataclasses import dataclass
from cl.runtime.records.dataclasses_extensions import missing
from cl.tradeentry.trades.rates.swaps.rates_swap_leg import RatesSwapLeg


@dataclass(slots=True, kw_only=True)
class FixedSwapLeg(RatesSwapLeg):
    """A series of interest rate payments with fixed coupon."""

    fixed_rate_pct: float = missing()
    """Fixed rate in percent."""

Classes

class FixedSwapLeg (*, rates_leg_id: str = None, pay_receive: PayReceiveKey = None, effective_date: str = None, maturity_date: str = None, pay_freq: FreqKey = None, fixed_rate_pct: float = None)

A series of interest rate payments with fixed coupon.

Expand source code

@dataclass(slots=True, kw_only=True)
class FixedSwapLeg(RatesSwapLeg):
    """A series of interest rate payments with fixed coupon."""

    fixed_rate_pct: float = missing()
    """Fixed rate in percent."""

Ancestors

Static methods

def get_key_type() -> Type: Inherited from: RatesSwapLeg.get_key_type

Return key type even when called from a record.

Fields

var effective_date -> str: Inherited from: RatesSwapLeg.effective_date

Effective date in ISO-8601 yyyy-mm-dd string format.
var fixed_rate_pct -> float: Fixed rate in percent.
var maturity_date -> str: Inherited from: RatesSwapLeg.maturity_date

Maturity date in ISO-8601 yyyy-mm-dd string format.
var pay_freq -> FreqKey: Inherited from: RatesSwapLeg.pay_freq

Payment frequency.
var pay_receive -> PayReceiveKey: Inherited from: RatesSwapLeg.pay_receive

Flag indicating if we pay or receive payments or periodic coupons for a trade or leg.
var rates_leg_id -> str: Inherited from: RatesSwapLeg.rates_leg_id

Unique interest rate leg identifier.

Methods

def get_key(self) -> RatesLegKey: Inherited from: RatesSwapLeg.get_key

Return a new key object whose fields populated from self, do not return self.
def init_all(self) -> None: Inherited from: RatesSwapLeg.init_all

Invoke ‘init’ for each class in the order from base to derived, then validate against schema.