InterestRateSwapBase

class sigtech.framework.instruments.ir_otc.InterestRateSwapBase

Baseclasses: OTCInstrumentWithPeriodicFlows

Subclasses: InterestRateSwap, OISSwap

Base class for LIBOR and OIS based swaps common functionality. This class shouldn’t be created or called on itself.

property holidays

List of holiday calendars for this instrument.

pv01_to_notional(pv01: float, dt: Union[datetime, date]) → float

Convert target pv01 to required swap notional (such that swap with this notional has the target pv01) :param pv01: target pv01 position :param dt: valuation time (or date, with default data point used in that case) :return: equivalent notional at dt

swap_past_flows(d: date, notional: float = 1.0) → dict

Experimental function - interface and output might change by the next release.