tf_quant_finance.rates.analytics.swap.rate_leg_cashflows

Last updated: 2023-03-16.

tf_quant_finance.rates.analytics.swap.rate_leg_cashflows#

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Computes cashflows for a batch or interest rate legs.

tf_quant_finance.rates.analytics.swap.rate_leg_cashflows(
    coupon_rates, notional, daycount_fractions, dtype=None, name=None
)

Example#

coupon_rates = [[0.1, 0.1, 0.1], [0.02, 0.12, 0.14]]
notional = 1000
daycount_fractions = [[1, 1, 1], [1, 2, 1]]
rate_leg_cashflows(
    coupon_rates, notional, daycount_fractions, dtype=tf.float64)
# Expected:
#  [[100.0, 100.0, 100.0],
#   [ 20.0, 240.0, 140.0]]

Args:#

  • coupon_rates: A real Tensor of shape batch_shape + [num_cashflows], where num_cashflows is the number of cashflows for each batch element. Coupon rates for each cashflow of the leg. Can be a scalar for a fixed leg or represent forward rates for a floating leg.

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

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

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

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

Returns:#

A Tensor of the same dtype as coupon_rates and of shape batch_shape + [num_cashflows].

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