Swaps

VanillaSwap

ql.VanillaSwap(type, nominal, fixedSchedule, fixedRate, fixedDayCount, floatSchedule, index, spread, floatingDayCount)

Types:

• ql.VanillaSwap.Payer

• ql.VanillaSwap.Receiver

calendar = ql.TARGET()
start = ql.Date(17,6,2019)
maturity = calendar.advance(start, ql.Period('5y'))

fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('1Y'))

floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))

swap = ql.VanillaSwap(
    ql.VanillaSwap.Payer, 100,
    fixedSchedule, 0.01, ql.Thirty360(),
    floatSchedule, ql.Euribor6M(), 0, ql.Actual360()
)

Swap

ql.Swap(firstLeg, secondLeg)

fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('1Y'))
fixedLeg = ql.FixedRateLeg(fixedSchedule, ql.Actual360(), [100], [0.01])

floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))
floatLeg = ql.IborLeg([100], floatSchedule, ql.Euribor6M(), ql.Actual360())

swap = ql.Swap(fixedLeg, floatLeg)

MakeVanillaSwap

ql.MakeVanillaSwap(tenor, index, fixedRate, forwardStart)

Optional params:

• fixedLegDayCount

• Nominal

• receiveFixed,

• swapType

• settlementDays

• effectiveDate

• terminationDate

• dateGenerationRule

• fixedLegTenor

• fixedLegCalendar

• fixedLegConvention

• fixedLegDayCount

• floatingLegTenor

• floatingLegCalendar

• floatingLegConvention

• floatingLegDayCount

• floatingLegSpread

• discountingTermStructure

• pricingEngine

• fixedLegTerminationDateConvention

• fixedLegDateGenRule

• fixedLegEndOfMonth

• fixedLegFirstDate

• fixedLegNextToLastDate,

• floatingLegTerminationDateConvention

• floatingLegDateGenRule

• floatingLegEndOfMonth

• floatingLegFirstDate

• floatingLegNextToLastDate

tenor = ql.Period('5y')
index = ql.Euribor6M()
fixedRate = 0.05
forwardStart = ql.Period("2D")

swap = ql.MakeVanillaSwap(tenor, index, fixedRate, forwardStart, Nominal=100)
swap = ql.MakeVanillaSwap(tenor, index, fixedRate, forwardStart, swapType=ql.VanillaSwap.Payer)

Amortizing Swap

calendar = ql.TARGET()
start = ql.Date(17,6,2019)
maturity = calendar.advance(start, ql.Period('2y'))


fixedSchedule = ql.MakeSchedule(start, maturity, ql.Period('1Y'))
fixedLeg = ql.FixedRateLeg(fixedSchedule, ql.Actual360(), [100, 50], [0.01])

floatSchedule = ql.MakeSchedule(start, maturity, ql.Period('6M'))
floatLeg = ql.IborLeg([100, 100, 50, 50], floatSchedule, ql.Euribor6M(), ql.Actual360())

swap = ql.Swap(fixedLeg, floatLeg)

FloatFloatSwap

ql.FloatFloatSwap(ql.VanillaSwap.Payer,
                [notional] * (len(float3m)-1),
                [notional] * (len(float6m)-1),
                float3m,
                index3m,
                ql.Actual360(),
                float6m,
                index6m,
                ql.Actual360(), False, False,
                [1] * (len(float3m)-1),
                [spread] * (len(float3m)-1))

AssetSwap

ql.AssetSwap(payFixed, bond, cleanPrice, index, spread)

ql.AssetSwap(payFixed, bond, cleanPrice, index, spread, schedule, dayCount, bool)

payFixedRate = True
bond = ql.FixedRateBond(2, ql.TARGET(), 100.0, ql.Date(15,12,2019), ql.Date(15,12,2024),
    ql.Period('1Y'), [0.05], ql.ActualActual()
    )
bondCleanPrice = 100
index = ql.Euribor6M()
spread = 0.0
ql.AssetSwap(payFixedRate, bond, bondCleanPrice, index, spread, ql.Schedule(), ql.ActualActual(), True)

OvernightIndexedSwap

ql.OvernightIndexedSwap(swapType, nominal, schedule, fixedRate, fixedDC, overnightIndex)

Or array of nominals

ql.OvernightIndexedSwap(swapType, nominals, schedule, fixedRate, fixedDC, overnightIndex)

Optional params:

• spread=0.0

• paymentLag=0

• paymentAdjustment=ql.Following()

• paymentCalendar=ql.Calendar()

• telescopicValueDates=false

Types:

• ql.OvernightIndexedSwap.Receiver

• ql.OvernightIndexedSwap.Receiver

swapType = ql.OvernightIndexedSwap.Receiver
nominal = 100
schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2021), ql.Period('1Y'), calendar=ql.TARGET())
fixedRate = 0.01
fixedDC = ql.Actual360()
overnightIndex = ql.Eonia()
ois_swap = ql.OvernightIndexedSwap(swapType, nominal, schedule, fixedRate, fixedDC, overnightIndex)

MakeOIS

ql.MakeOIS(swapTenor, overnightIndex, fixedRate)

Optional params:

• fwdStart=Period(0, Days)

• receiveFixed=True,

• swapType=OvernightIndexedSwap.Payer

• nominal=1.0

• settlementDays=2

• effectiveDate=None

• terminationDate=None

• dateGenerationRule=DateGeneration.Backward

• paymentFrequency=Annual

• paymentAdjustmentConvention=Following

• paymentLag=0

• paymentCalendar=None

• endOfMonth=True

• fixedLegDayCount=None

• overnightLegSpread=0.0

• discountingTermStructure=None

• telescopicValueDates=False

• pricingEngine=None

swapTenor = ql.Period('1Y')
overnightIndex = ql.Eonia()
fixedRate = 0.01
ois_swap = ql.MakeOIS(swapTenor, overnightIndex, fixedRate)

NonstandardSwap

ql.NonstandardSwap(swapType, fixedNominal, floatingNominal, fixedSchedule, fixedRate, fixedDayCount, floatingSchedule, iborIndex, gearing, spread, floatDayCount)

Optional params:

• intermediateCapitalExchange = False

• finalCapitalExchange = False,

• paymentConvention = None

swapType = ql.VanillaSwap.Payer
fixedNominal = [100, 100]
floatingNominal  = [100] * 4
fixedSchedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('1Y'))
fixedRate = [0.02] * 2
fixedDayCount = ql.Thirty360()
floatingSchedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2022), ql.Period('6M'))
iborIndex = ql.Euribor6M()
gearing = [1.] * 4
spread = [0.] * 4
floatDayCount = iborIndex.dayCounter()
nonstandardSwap = ql.NonstandardSwap(
    swapType, fixedNominal, floatingNominal,
    fixedSchedule, fixedRate, fixedDayCount,
    floatingSchedule, iborIndex, gearing, spread, floatDayCount)