InterestRateSwap#

class sigtech.framework.instruments.ir_otc.InterestRateSwap

Baseclasses: InterestRateSwapBase

Implements a receiver (receives fixed, pays floating) interest rate swap where its P&L excluding cashflows is calculated from a given time series. Strike will be recorded as an entry point on the time series + transaction cost assumptions (unless specified explicitly). The name will be different depending on whether the swap will start on the next IMM contract delivery date.

The history of the swap is computed to the earliest of the pricing day and swap maturity, unless value_post_start is set to False, in which case the swap will only have time series from entry date until start date.

If floating leg requires a spread on top of the index, it can be added as a spread parameters (in absolute terms, e.g. if a floating leg pays LIBOR+20bp, the 20bp should be input as spread=0.002).

Example object creation:

ir_swap = sig.InterestRateSwap(
    currency='USD',
    trade_date=dtm.date(2017, 1, 3),
    start_date=dtm.date(2017, 4, 14),
    tenor='5Y',
)

This will create a 5Y USD swap, that started 3-Jan-2017, matures 3-Jan-2022, receives (fixed) fair swap rate as determined on the start date, and uses USD swap defaults - semi-annual 30/360 fixed leg vs. quarterly Act/360 (3M USD LIBOR) floating leg.

ir_swap_imm = sig.InterestRateSwap(
    currency='GBP',
    trade_date=dtm.date(2015, 4, 15),
    start_date=dtm.date(2015, 6, 17),
    fixed_rate=0.07,
    tenor='10Y',
    value_post_start=False,
)

This will create an IMM (since start date is an IMM date) forward-starting 10Y GBP swap receiving 7% fixed rate (semi-annual, ACT/365), that should be traded out prior to the start date, as we don’t generate the time series for it after the start.

ir_swap = sig.InterestRateSwap(
    currency='EUR',
    trade_date=dtm.date(2017, 4, 14),
    start_date=dtm.date(2017, 1, 5),
    tenor=dtm.date(2022, 7, 5),
    fixed_rate=0.05,
)

This will create a 5.5Y EUR swap, that started 5-Jan-2017, matures 5-Jul-2022, and receives a 5% (annual, 30/360) fixed rate.

If default swap parameters need to be changed, it can be done via the overrides dictionary as follows:

ir_swap = sig.InterestRateSwap(
    currency='EUR',
    trade_date=dtm.date(2017, 4, 14),
    start_date=dtm.date(2017, 7, 5),
    tenor=dtm.date(2022, 7, 5),
    fixed_rate=0.05,
    overrides={
        'fixed_frequency': 'S',
        'discount_curve': 'EUR.F6M CURVE',
        'float_day_count': 'ACT/365F'
    }
)

This will create a 5Y EUR swap, receiving semi-annual fixed coupon, ACT365 floating leg day count, and using EUR.F6M curve for discounting its cashflows (unlike standard 5Y EUR swap that would receive annual fixed coupon, pay floating with ACT360 daycount, and would use the default EUR.D curve for discounting).

Hereunder are some supported values for various parameters:

fixed_frequencies : A - annual, S - semiannual, Q - quaterly
floating_frequencies : Tenor like string usually 3M or 6M.
day_count: ACT/365, ACT/360, ACT/365F, 30/360

Forecast and discount curve format are the following:

forecast_curve: CCY & ‘.F’ & tenor & ‘ CURVE’
discount_curve: CCY & ‘.d CURVE’

For supported currencies and fixes indices: