tf_quant_finance.rates.analytics.swap.swap_price

Last updated: 2023-03-16.

tf_quant_finance.rates.analytics.swap.swap_price#

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Computes prices of a batch of generic swaps.

tf_quant_finance.rates.analytics.swap.swap_price(
    pay_leg_cashflows, receive_leg_cashflows, pay_leg_discount_factors,
    receive_leg_discount_factors, dtype=None, name=None
)

Example#

pay_leg_cashflows = [[100, 100, 100], [200, 250, 300]]
receive_leg_cashflows = [[200, 250, 300, 300], [100, 100, 100, 100]]
pay_leg_discount_factors = [[0.95, 0.9, 0.8],
                            [0.9, 0.85, 0.8]]
receive_leg_discount_factors = [[0.95, 0.9, 0.8, 0.75],
                                [0.9, 0.85, 0.8, 0.75]]
swap_price(pay_leg_cashflows=pay_leg_cashflows,
           receive_leg_cashflows=receive_leg_cashflows,
           pay_leg_discount_factors=pay_leg_discount_factors,
           receive_leg_discount_factors=receive_leg_discount_factors,
           dtype=tf.float64)
# Expected: [615.0, -302.5]

Args:#

  • pay_leg_cashflows: A real Tensor of shape batch_shape + [num_pay_cashflows], where num_pay_cashflows is the number of cashflows for each batch element. Cashflows of the pay leg of the swaps.

  • receive_leg_cashflows: A Tensor of the same dtype as pay_leg_cashflows and of shape batch_shape + [num_receive_cashflows] where num_pay_cashflows is the number of cashflows for each batch element. Cashflows of the receive leg of the swaps.

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

  • receive_leg_discount_factors: A Tensor of the same dtype as receive_leg_cashflows 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_cashflows.

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

Returns:#

A Tensor of the same dtype as coupon_rates and of shape batch_shape. Present values of swaps from receiver perspective.

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