import datetime
from .product import Product
from ..timehandles.daycounter import DayCounter
from ..markethandles.utils import Currency, SwapType
from ..index.curverateindex import OvernightIndex
from ..flows.fixedcoupon import FixedRateLeg
from ..flows.floatingcoupon import FloatingRateLeg
[docs]
class Ois(Product):
def __init__(
self,
ccy: Currency,
start_date: datetime.date,
end_date: datetime.date,
start_dates_fix: list[datetime.date],
end_dates_fix: list[datetime.date],
pay_dates_fix: list[datetime.date],
start_dates_flt: list[datetime.date],
end_dates_flt: list[datetime.date],
pay_dates_flt: list[datetime.date],
fixed_rate: float,
notional: float,
day_counter_fix: DayCounter,
day_counter_flt: DayCounter,
index: OvernightIndex,
swap_type: SwapType = SwapType.Payer,
):
super().__init__(ccy, start_date, end_date)
self._notional = notional
self._day_counter_fix = day_counter_fix
self._day_counter_flt = day_counter_flt
self._fixed_rate = fixed_rate
self._notionals = [notional] * len(pay_dates_fix)
self._rates = [fixed_rate] * len(pay_dates_fix)
self._gearings = [1] * len(pay_dates_flt)
self._margins = [0] * len(pay_dates_flt)
self._index = index
self._swap_type = swap_type
self._fixed_leg = FixedRateLeg(
pay_dates_fix,
start_dates_fix,
end_dates_fix,
self._notionals,
self._rates,
day_counter_fix,
)
self._floating_leg = FloatingRateLeg(
pay_dates_flt,
start_dates_flt,
end_dates_flt,
self._notionals,
self._gearings,
self._margins,
index,
day_counter_flt,
)
self._discount_curve = None
self._estimation_curve = None
@property
def notional(self) -> float:
"""
Get the notional amount for the swap.
Returns:
float: The notional amount.
"""
return self._notional
@property
def swap_type(self) -> SwapType:
"""
Get the swap type, either Payer or Receiver.
Returns:
SwapType: The type of the swap.
"""
return self._swap_type
@property
def fixed_leg(self) -> FixedRateLeg:
"""
Get the fixed leg of the OIS.
Returns:
FixedRateLeg: The fixed leg of the swap.
"""
return self._fixed_leg
@property
def floating_leg(self) -> FloatingRateLeg:
"""
Get the floating leg of the OIS.
Returns:
FloatingRateLeg: The floating leg of the swap.
"""
return self._floating_leg
@property
def fixed_rate(self):
return self._fixed_rate
@property
def discount_curve(self) -> str:
if self._discount_curve is None:
raise ValueError("you must define a pricer")
return self._discount_curve
@discount_curve.setter
def discount_curve(self, value: str):
self._discount_curve = value
@property
def estimation_curve(self) -> str:
if self._estimation_curve is None:
raise ValueError("you must define a pricer")
return self._estimation_curve
@estimation_curve.setter
def estimation_curve(self, value: str):
self._estimation_curve = value