Last updated: 2023-03-16.

Module: tf_quant_finance.rates.analytics.swap

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Collection of functions to create interest rate and equity swaps.

Functions

equity_leg_cashflows(...): Computes cashflows for a batch of equity legs.

equity_swap_price(...): Computes prices of a batch of equity swaps.

ir_swap_par_rate_and_annuity(...): Utility function to compute par swap rate and annuity.

ir_swap_price(...): Computes prices of a batch of interest rate swaps.

rate_leg_cashflows(...): Computes cashflows for a batch or interest rate legs.

swap_price(...): Computes prices of a batch of generic swaps.