BrazilOffshoreSwap#
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class sigtech.framework.instruments.brazil_swap.BrazilOffshoreSwap
Baseclasses:
OTCInstrument
Class for Brazil off shore swaps (DI futures). The instrument models a zero swap of receiving a fixed rate and paying a (business day daily) compounded CDI rate, assuming final notional of 1. As such the final payoff of the fixed leg is 1 and of the floating - the initial notional that will cause fixed leg final value of 1, multiplied by daily accruals of (1+CDI)^(1/252)
The commonly used parameters have the following meaning:
start_date
: the date the swap was traded - used to imply fair fixed rate, to start the history, and to accrue the floating (CDI) legmaturity_date
: actual physical settlement date. Should be a valid future maturity date to get valuationfixed_rate
: the agreed zero rate for the swap. If not supplied, the fair rate on the start_date is obtained from the market.initial_notional
can be supplied directly instead, as it is also the zero price of the fixed leg of the swapinitial_notional
: initial swap notional (implied from thefixed_rate
if missing)
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currency: Optional[str]
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property expiry_date: date
Contract expiry date.
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fixed_rate: Optional[float]
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property holidays
List of holiday calendars for this instrument.
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initial_notional: Optional[float]
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maturity_date: date
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start_date: date