Module: rates_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
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# See the License for the specific language governing permissions and
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import datetime as dt
from dataclasses import dataclass
from cl.runtime.records.dataclasses_extensions import missing
from cl.tradeentry.trades.freq_key import FreqKey
from cl.tradeentry.trades.pay_receive_key import PayReceiveKey
from cl.tradeentry.trades.rates.rates_leg import RatesLeg


@dataclass(slots=True, kw_only=True)
class RatesSwapLeg(RatesLeg):
    """Swap leg."""

    pay_receive: PayReceiveKey = missing()
    """Flag indicating if we pay or receive payments or periodic coupons for a trade or leg."""

    effective_date: str = missing()
    """Effective date in ISO-8601 yyyy-mm-dd string format."""

    maturity_date: str = missing()
    """Maturity date in ISO-8601 yyyy-mm-dd string format."""

    pay_freq: FreqKey = missing()
    """Payment frequency."""

Classes

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

Swap leg.

Expand source code

@dataclass(slots=True, kw_only=True)
class RatesSwapLeg(RatesLeg):
    """Swap leg."""

    pay_receive: PayReceiveKey = missing()
    """Flag indicating if we pay or receive payments or periodic coupons for a trade or leg."""

    effective_date: str = missing()
    """Effective date in ISO-8601 yyyy-mm-dd string format."""

    maturity_date: str = missing()
    """Maturity date in ISO-8601 yyyy-mm-dd string format."""

    pay_freq: FreqKey = missing()
    """Payment frequency."""

Ancestors

RatesLeg
RatesLegKey
KeyMixin
RecordMixin
abc.ABC
typing.Generic

Subclasses

Static methods

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

Return key type even when called from a record.

Fields

var effective_date -> str: Effective date in ISO-8601 yyyy-mm-dd string format.
var maturity_date -> str: Maturity date in ISO-8601 yyyy-mm-dd string format.
var pay_freq -> FreqKey: Payment frequency.
var pay_receive -> PayReceiveKey: Flag indicating if we pay or receive payments or periodic coupons for a trade or leg.
var rates_leg_id -> str: Inherited from: RatesLeg.rates_leg_id

Unique interest rate leg identifier.

Methods

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

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

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