BrazilOffshoreSwap

BrazilOffshoreSwap#

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) leg

  • maturity_date: actual physical settlement date. Should be a valid future maturity date to get valuation

  • fixed_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 swap

  • initial_notional: initial swap notional (implied from the fixed_rate if missing)

currency: Optional[str]
property expiry_date: date

Contract expiry date.

fixed_rate: Optional[float]
property holidays

List of holiday calendars for this instrument.

initial_notional: Optional[float]
maturity_date: date
start_date: date