Module: vanilla_swap

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.pay_receive_fixed_key import PayReceiveFixedKey
from cl.tradeentry.trades.rates.rates_index_key import RatesIndexKey
from cl.tradeentry.trades.trade import Trade


@dataclass(slots=True, kw_only=True)
class VanillaSwap(Trade):
    """Vanilla fixed-for-floating swap."""

    pay_receive_fixed: PayReceiveFixedKey = missing()
    """Flag indicating if we pay or receive fixed leg coupons in a fixed-for-floating swap."""

    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."""

    float_index: RatesIndexKey = missing()
    """Floating interest rate index."""

    fixed_rate_pct: float | None = None
    """Fixed rate in percent or breakeven rate if not specified."""

Classes

class VanillaSwap (*, trade_id: str = None, parent_trade: TradeKey | None = None, pay_receive_fixed: PayReceiveFixedKey = None, effective_date: str = None, maturity_date: str = None, float_index: RatesIndexKey = None, fixed_rate_pct: float | None = None)

Vanilla fixed-for-floating swap.

Expand source code

@dataclass(slots=True, kw_only=True)
class VanillaSwap(Trade):
    """Vanilla fixed-for-floating swap."""

    pay_receive_fixed: PayReceiveFixedKey = missing()
    """Flag indicating if we pay or receive fixed leg coupons in a fixed-for-floating swap."""

    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."""

    float_index: RatesIndexKey = missing()
    """Floating interest rate index."""

    fixed_rate_pct: float | None = None
    """Fixed rate in percent or breakeven rate if not specified."""

Ancestors

Trade
TradeKey
KeyMixin
RecordMixin
abc.ABC
typing.Generic

Static methods

def get_key_type() -> Type: Inherited from: Trade.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 fixed_rate_pct -> float | None: Fixed rate in percent or breakeven rate if not specified.
var float_index -> RatesIndexKey: Floating interest rate index.
var maturity_date -> str: Maturity date in ISO-8601 yyyy-mm-dd string format.
var parent_trade -> TradeKey | None: Inherited from: Trade.parent_trade

Specified for trades that are part of a basket or strategy (PV will be aggregated under the parent).
var pay_receive_fixed -> PayReceiveFixedKey: Flag indicating if we pay or receive fixed leg coupons in a fixed-for-floating swap.
var trade_id -> str: Inherited from: Trade.trade_id

Unique trade identifier.

Methods

def get_key(self) -> TradeKey: Inherited from: Trade.get_key

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

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