tf_quant_finance.rates.analytics.swap.ir_swap_price

Last updated: 2023-03-16.

tf_quant_finance.rates.analytics.swap.ir_swap_price#

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Computes prices of a batch of interest rate swaps.

tf_quant_finance.rates.analytics.swap.ir_swap_price(
    pay_leg_coupon_rates, receive_leg_coupon_rates, pay_leg_notional,
    receive_leg_notional, pay_leg_daycount_fractions,
    receive_leg_daycount_fractions, pay_leg_discount_factors,
    receive_leg_discount_factors, dtype=None, name=None
)

Example#

pay_leg_coupon_rates = [[0.1], [0.15]]
receive_leg_coupon_rates = [[0.1, 0.2, 0.05], [0.1, 0.05, 0.2]]
notional = 1000
pay_leg_daycount_fractions = 0.5
receive_leg_daycount_fractions = [[0.5, 0.5, 0.5], [0.4, 0.5, 0.6]]
discount_factors = [[0.95, 0.9, 0.85], [0.98, 0.92, 0.88]]

ir_swap_price(
    pay_leg_coupon_rates=pay_leg_coupon_rates,
    receive_leg_coupon_rates=receive_leg_coupon_rates,
    pay_leg_notional=notional,
    receive_leg_notional=notional,
    pay_leg_daycount_fractions=pay_leg_daycount_fractions,
    receive_leg_daycount_fractions=receive_leg_daycount_fractions,
    pay_leg_discount_factors=discount_factors,
    receive_leg_discount_factors=discount_factors,
    dtype=tf.float64)
# Expected: [23.75, -40.7]

Args:#

  • pay_leg_coupon_rates: A real Tensor of shape batch_shape + [num_pay_cashflows], where num_pay_cashflows is the number of cashflows for each batch element. Coupon rates for the paying leg.

  • receive_leg_coupon_rates: A Tensor of the same dtype as pay_leg_coupon_rates and of shape batch_shape + [num_receive_cashflows], where num_receive_cashflows is the number of cashflows for each batch element. Coupon rates the receiving leg.

  • pay_leg_notional: A Tensor of the same dtype as pay_leg_coupon_rates and of compatible shape. Notional amount for each cashflow.

  • receive_leg_notional: A Tensor of the same dtype as receive_leg_coupon_rates and of compatible shape. Notional amount for each cashflow.

  • pay_leg_daycount_fractions: A Tensor of the same dtype as pay_leg_coupon_rates and of compatible shape. Year fractions for the coupon accrual.

  • receive_leg_daycount_fractions: A Tensor of the same dtype as receive_leg_coupon_rates and of compatible shape. Year fractions for the coupon accrual.

  • pay_leg_discount_factors: A Tensor of the same dtype as pay_leg_coupon_rates and of compatible shape. Discount factors for each cashflow of the pay leg.

  • receive_leg_discount_factors: A Tensor of the same dtype as pay_leg_coupon_rates and of compatible shape. Discount factors for each cashflow of the receive leg.

  • dtype: tf.Dtype. If supplied the dtype for the input and output Tensors. Default value: None which maps to the default dtype inferred from pay_leg_coupon_rates.

  • name: Python str. The name to give to the ops created by this function. Default value: None which maps to ‘equity_swap_price’.

Returns:#

A Tensor of the same dtype as pay_leg_coupon_rates and of shape batch_shape. Present values of the interest rate swaps.

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