tensorquant.instruments package

Submodules

tensorquant.instruments.capfloor module

class tensorquant.instruments.capfloor.Cap(leg: FloatingRateLeg, strike: float)[source]: Bases: IrOption

class tensorquant.instruments.capfloor.Collar(leg: FloatingRateLeg, strike: float)[source]: Bases: IrOption

class tensorquant.instruments.capfloor.Floor(leg: FloatingRateLeg, strike: float)[source]: Bases: IrOption

class tensorquant.instruments.capfloor.IrOption(leg: FloatingRateLeg, strike: float)[source]

Bases: Product

property atm_rate

property implied_volatility: Black implied vol

property is_expired

property maturity_date

property start_date

Get the start date of the product.

Returns:: The start date.
Return type:: datetime.date

tensorquant.instruments.deposit module

class tensorquant.instruments.deposit.Deposit(ccy: Currency, rate: float, trade_date: date, start_date: date, end_date: date, notional: int | float, day_count_convention: DayCounterConvention)[source]

Bases: Product

Represents a deposit financial product.

ccy

The currency of the deposit.

Type:: Currency

rate

The interest rate for the deposit.

Type:: float

trade_date

The trade date of the deposit.

Type:: datetime.date

start_date

The start date of the deposit.

Type:: datetime.date

end_date

The end date or maturity date of the deposit.

Type:: datetime.date

notional

The notional amount of the deposit.

Type:: float or int

day_counter

Day count convention used to calculate day fractions.

Type:: DayCounter

property day_count_convention: DayCounterConvention

Get the day count convention used for interest calculations.

Returns:: The day count convention used for this deposit.
Return type:: DayCounterConvention

property day_counter: DayCounter

Get the day count convention used for interest calculations.

Returns:: The day count convention object.
Return type:: DayCounter

property notional: float

Get the notional amount of the deposit.

Returns:: The notional amount.
Return type:: float

property rate: float

property trade_date: date

Get the trade date of the deposit.

Returns:: The trade date.
Return type:: datetime.date

tensorquant.instruments.forward module

class tensorquant.instruments.forward.Fra(ccy: Currency, start_date: date, end_date: date, notional: float, fixed_rate: float, day_count_convention: DayCounterConvention, index: IborIndex, side: SwapType = SwapType.Payer)[source]

Bases: Product

Represents a Forward Rate Agreement (FRA).

A Forward Rate Agreement (FRA) is a financial contract that allows parties to lock in an interest rate for a future period. This class models the FRA including its notional amount, start and end dates, the day count convention used for interest calculations, and the associated Ibor index.

ccy

The currency of the FRA.

Type:: Currency

start_date

The start date of the FRA.

Type:: date

end_date

The end date of the FRA.

Type:: date

notional

The notional amount of the FRA.

Type:: float

quote

The FRA quote or rate.

Type:: float

day_count_convention

The day count convention used for interest calculations.

Type:: DayCounterConvention

index

The Ibor index used for the FRA.

Type:: IborIndex

property day_count_convention: DayCounterConvention

Get the day count convention used for interest calculations.

Returns:: The day count convention.
Return type:: DayCounterConvention

property day_counter: DayCounter

Get the day count convention object used for interest calculations.

Returns:: The day count convention object.
Return type:: DayCounter

property fixed_rate: float

property fixing_date

Get the fixing date based on the start date and index.

Returns:: The fixing date.
Return type:: date

property notional: float

Get the notional amount of the FRA.

Returns:: The notional amount.
Return type:: float

property side

tensorquant.instruments.helpers module

class tensorquant.instruments.helpers.DepositGenerator(ccy: Currency, start_delay: int, roll_convention: BusinessDayConvention, day_count_convention: DayCounterConvention, notional: float, calendar: Calendar)[source]

Bases: ProductGenerator

Generator for creating deposit products.

start_delay

Number of days to delay the start of the deposit.

Type:: int

roll_convention

Business day convention for rolling.

Type:: BusinessDayConvention

day_count_convention

Day count convention for the deposit.

Type:: DayCounterConvention

calendar

Calendar used for date adjustments.

Type:: Calendar

build(trade_date: date, quote: float, term: str)[source]

Builds a deposit product based on the provided trade date, quote, and term.

Parameters:

trade_date (datetime.date) – The trade date for the deposit.
quote (float) – The quote or rate for the deposit.
term (str) – The term or duration of the deposit.

Returns:

The constructed deposit product.

Return type:

Deposit

class tensorquant.instruments.helpers.FraGenerator(ccy: str, start_delay: int, fixing_days: int, index_term: str, roll_convention: BusinessDayConvention, notional: float, day_count_convention: DayCounterConvention, calendar: Calendar, index: Index)[source]

Bases: ProductGenerator

Generator for creating Forward Rate Agreement (FRA) products.

start_delay

Number of days to delay the start of the FRA.

Type:: int

fixing_days

Number of days for fixing.

Type:: int

index_term

Term for the index.

Type:: str

roll_convention

Business day convention for rolling.

Type:: BusinessDayConvention

day_count_convention

Day count convention for the FRA.

Type:: DayCounterConvention

calendar

Calendar used for date adjustments.

Type:: Calendar

index

Index used for the FRA.

Type:: Index

build(trade_date: date, quote: float, term: str)[source]

Builds a FRA product based on the provided trade date, quote, and term.

Parameters:

trade_date (datetime.date) – The trade date for the FRA.
quote (float) – The quote or rate for the FRA.
term (str) – The term or duration of the FRA.

Returns:

The constructed FRA product.

Return type:

Fra

class tensorquant.instruments.helpers.OisGenerator(ccy: str, start_delay: int, period_fix: str, period_flt: str, roll_convention: BusinessDayConvention, notional: float, day_count_convention_fix: DayCounterConvention, day_count_convention_flt: DayCounterConvention, calendar: Calendar, index: Index)[source]

Bases: ProductGenerator

Generator for creating Overnight Index Swap (OIS) products.

start_delay

Number of days to delay the start of the OIS.

Type:: int

fixing_days

Number of days for fixing.

Type:: int

period_fix

Fixing period.

Type:: str

period_flt

Floating period.

Type:: str

roll_convention

Business day convention for rolling.

Type:: BusinessDayConvention

day_count_convention_fix

Day count convention for the fixed leg.

Type:: DayCounterConvention

day_count_convention_flt

Day count convention for the floating leg.

Type:: DayCounterConvention

calendar

Calendar used for date adjustments.

Type:: Calendar

index

Index used for the OIS.

Type:: Index

build(trade_date: date, quote: float, term: str)[source]

Builds an OIS product based on the provided trade date, quote, and term.

Parameters:

trade_date (datetime.date) – The trade date for the OIS.
quote (float) – The quote or rate for the OIS.
term (str) – The term or duration of the OIS.

Returns:

The constructed OIS product.

Return type:

Ois

class tensorquant.instruments.helpers.ProductGenerator(name: str, ccy: str, notional: float)[source]

Bases: ABC

Abstract base class for generating financial products.

name

The name or type of the product generator.

Type:: str

ccy

The currency of the product.

Type:: str

notional

The notional amount for the product.

Type:: float

abstract build(trade_date, quote: float, term: str)[source]

Abstract method to build a financial product.

Parameters:

trade_date (datetime.date) – The trade date for the product.
quote (float) – The quote or rate for the product.
term (str) – The term or duration of the product.

Returns:

The constructed financial product.

Return type:

Product

class tensorquant.instruments.helpers.SwapGenerator(ccy: Currency, start_delay: int, period_fix: str, period_flt: str, roll_convention: BusinessDayConvention, notional: float, day_count_convention_fix: DayCounterConvention, day_count_convention_flt: DayCounterConvention, calendar: Calendar, index: Index)[source]

Bases: ProductGenerator

Generator for creating Swap products.

start_delay

Number of days to delay the start of the swap.

Type:: int

period_fix

Fixing period.

Type:: str

period_flt

Floating period.

Type:: str

roll_convention

Business day convention for rolling.

Type:: BusinessDayConvention

day_count_convention_fix

Day count convention for the fixed leg.

Type:: DayCounterConvention

day_count_convention_flt

Day count convention for the floating leg.

Type:: DayCounterConvention

calendar

Calendar used for date adjustments.

Type:: Calendar

index

Index used for the swap.

Type:: Index

build(trade_date: date, quote: float, term: str)[source]

Builds a swap product based on the provided trade date, quote, and term.

Parameters:

trade_date (datetime.date) – The trade date for the swap.
quote (float) – The quote or rate for the swap.
term (str) – The term or duration of the swap.

Returns:

The constructed swap product.

Return type:

Swap

tensorquant.instruments.ois module

class tensorquant.instruments.ois.Ois(ccy: Currency, start_date: date, end_date: date, start_dates_fix: list[date], end_dates_fix: list[date], pay_dates_fix: list[date], start_dates_flt: list[date], end_dates_flt: list[date], pay_dates_flt: list[date], fixed_rate: float, notional: float, day_counter_fix: DayCounter, day_counter_flt: DayCounter, index: OvernightIndex, swap_type: SwapType = SwapType.Payer)[source]

Bases: Product

property discount_curve: str

property estimation_curve: str

property fixed_leg: FixedRateLeg

Get the fixed leg of the OIS.

Returns:: The fixed leg of the swap.
Return type:: FixedRateLeg

property fixed_rate

property floating_leg: FloatingRateLeg

Get the floating leg of the OIS.

Returns:: The floating leg of the swap.
Return type:: FloatingRateLeg

property notional: float

Get the notional amount for the swap.

Returns:: The notional amount.
Return type:: float

property swap_type: SwapType

Get the swap type, either Payer or Receiver.

Returns:: The type of the swap.
Return type:: SwapType

tensorquant.instruments.option module

class tensorquant.instruments.option.Option(ccy: Currency, start_date: date, end_date: date, option_type: OptionType, strike: float | list[float], exercise_type: ExerciseType, underlying: str = 'DEFAULT')[source]

Bases: Product, ABC

property exercise_type

property forward

property implied_volatility: Variable

property option_type

property strike

property underlying

class tensorquant.instruments.option.VanillaOption(ccy: Currency, start_date: date, end_date: date, option_type, strike, underlying: str = 'DEFAULT', exercise_type: ExerciseType = ExerciseType.European)[source]: Bases: Option

tensorquant.instruments.product module

class tensorquant.instruments.product.Product(ccy: Currency, start_date: date, end_date: date)[source]

Bases: ABC

Abstract base class for financial products.

ccy

The currency of the product.

Type:: Currency

start_date

The start date of the product.

Type:: datetime.date

end_date

The end date or maturity date of the product.

Type:: datetime.date

price

The price or interest rate associated with the product.

Type:: float

property ccy: Currency

Get the currency of the product.

Returns:: The currency in which the product is denominated.
Return type:: Currency

property end_date: date

Get the end or maturity date of the product.

Returns:: The end date.
Return type:: datetime.date

property price: float

Get the price associated with the product.

Returns:: The price of the product.
Return type:: float

property start_date: date

Get the start date of the product.

Returns:: The start date.
Return type:: datetime.date

tensorquant.instruments.swap module

class tensorquant.instruments.swap.Swap(ccy: Currency, start_date: date, end_date: date, start_dates_fix: list[date], end_dates_fix: list[date], pay_dates_fix: list[date], start_dates_flt: list[date], end_dates_flt: list[date], pay_dates_flt: list[date], fixed_rate: float, notional: float, day_counter_fix: DayCounter, day_counter_flt: DayCounter, index: Index, swap_type: SwapType = SwapType.Payer)[source]

Bases: Product

property discount_curve: str

property estimation_curve: str

property fixed_leg: FixedRateLeg

Get the fixed leg of the swap.

Returns:: The fixed leg of the swap.
Return type:: FixedRateLeg

property fixed_rate

property floating_leg: FloatingRateLeg

Get the floating leg of the swap.

Returns:: The floating leg of the swap.
Return type:: FloatingRateLeg

property notional: float

Get the notional principal amount of the swap.

Returns:: The notional principal amount.
Return type:: float

property swap_type: SwapType

Get the type of swap (Payer or Receiver).

Returns:: The type of the swap.
Return type:: SwapType

tensorquant.instruments package

Submodules

tensorquant.instruments.capfloor module

tensorquant.instruments.deposit module

tensorquant.instruments.forward module

tensorquant.instruments.helpers module

tensorquant.instruments.ois module

tensorquant.instruments.option module

tensorquant.instruments.product module

tensorquant.instruments.swap module

Module contents