swap_valuation

Value a disseminated swap on its own printed terms against the rate curve.

Examples

from openbb import obb
obb.cftc.swap_valuation(provider='cftc')
# Value a specific disseminated print against today's curve.
obb.cftc.swap_valuation(currency='USD', dissemination_identifier='4339565190000000401', provider='cftc')
# Value the largest CNY print off its fixed-float IRS curve.
obb.cftc.swap_valuation(currency='CNY', provider='cftc')

Parameters

• standard
• cftc

currency: str | None
Default: USD
Currency of the swap, priced off that currency's reported rate curve - its OIS, or its fixed-vs-floating IRS when it has no OIS (CNY, TWD, MYR, ...).

dissemination_identifier: str | None
The disseminated trade to value, as printed on the Swap Transactions tape. Any non-matured print is valuable by its own identifier. Default is the day's largest standalone par print; a package leg or off-par print's rate may reflect a package structure rather than a market level, flagged is_vanilla_par in the metadata rather than excluded.

trade_date: date | None
Dissemination date the trade printed on (UTC). Default is the curve date, today's tape; an older print is looked up on the day it was disseminated and valued on its remaining life against the current curve. Slices are retained for 366 days.

side: str | None
Default: pay
Whether the position pays or receives the fixed rate. The net present value is signed to this side; dissemination does not say which side either counterparty took.

min_notional: float | None
Default: 0.0
Only consider prints at least this large when defaulting to the day's largest. Ignored when a dissemination identifier is given.

date: date | None
Dissemination date (UTC) of the trades and the rate curve. Default is the most recent published. History is retained for 366 days.

min_trades: int | None
Default: 1
Minimum trades for a curve node. The default keeps every traded tenor, because thin EM curves would otherwise lose their pillars.

use_cache: bool | None
Default: True
Cache the source data locally, revalidating against the source ETag.

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Returns

results: CftcSwapValuation

Serializable results.

provider: str | None

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

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Data

• standard
• cftc

period: int
Coupon period, ordered from the first payment to maturity.

start_date: date | str
Start of the accrual period.

payment_date: date
Payment date at the end of the accrual period.

year_fraction: float
Accrual year fraction of the period, on the currency's money-market day count.

discount_factor: float
Discount factor to the payment date, off the bootstrapped curve.

forward_rate: float | None
Curve-implied forward rate for the period, in percent. Reported on the fixed leg's rows where the floating leg's periods align with them.

floating_rate: float | None
Floating rate applied to the period, in percent - the curve's implied forward plus the contract spread.

notional: float
Notional outstanding over the period, as the trade reported it - an amortising schedule steps down.

fixed_rate: float
Fixed rate applied to the period, in percent - the rate the trade printed at.

fixed_cashflow: float
Fixed-leg cash flow paid at the payment date.

fixed_pv: float
Present value of the fixed-leg cash flow.

floating_cashflow: float | None
Floating-leg cash flow at the period's forward rate.

floating_pv: float | None
Present value of the floating-leg cash flow.

index_ratio: float | None
Total index ratio applied to the period on an inflation swap - the reference index at maturity over the trade's base index.

realized_ratio: float | None
The part of the index ratio already fixed by published index levels, on a seasoned inflation swap.

projected_ratio: float | None
The part of the index ratio still projected off the curve's forward breakeven, on an inflation swap.