Module: float_swap_leg

Expand source code

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


@dataclass(slots=True, kw_only=True)
class FloatSwapLeg(RatesSwapLeg):
    """A series of interest rate payments with a floating coupon based on an interest rate index.."""

    float_freq: str = missing()  # TODO: Consider a less ambiguous name, e.g. accrual_freq
    """Frequency at which floating interest accrues."""

    float_index: RatesIndex = missing()
    """Floating interest rate index ('float_spread' is added to the index fixing)."""

    float_spread_bp: float = missing()
    """Spread over the interest rate index in basis points."""

Classes

class FloatSwapLeg (*, rates_leg_id: str = None, pay_receive: PayReceiveKey = None, effective_date: str = None, maturity_date: str = None, pay_freq: FreqKey = None, float_freq: str = None, float_index: RatesIndex = None, float_spread_bp: float = None)

A series of interest rate payments with a floating coupon based on an interest rate index..

Expand source code

@dataclass(slots=True, kw_only=True)
class FloatSwapLeg(RatesSwapLeg):
    """A series of interest rate payments with a floating coupon based on an interest rate index.."""

    float_freq: str = missing()  # TODO: Consider a less ambiguous name, e.g. accrual_freq
    """Frequency at which floating interest accrues."""

    float_index: RatesIndex = missing()
    """Floating interest rate index ('float_spread' is added to the index fixing)."""

    float_spread_bp: float = missing()
    """Spread over the interest rate index in basis points."""

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 float_freq -> str: Frequency at which floating interest accrues.
var float_index -> RatesIndex: Floating interest rate index (‘float_spread’ is added to the index fixing).
var float_spread_bp -> float: Spread over the interest rate index in basis points.
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.