Rates Instruments

Interest rate derivatives for curve calibration, pricing, and risk.

All types are available via flat import:

from vade import IRS, FRA, ZCS, SBS, OIS, Deposit, IRFuture, CapFloor

Or via product-path import:

from vade.instruments.rates import IRS, FRA, ZCS, SBS, OIS, Deposit, IRFuture, CapFloor

See Conventions for all accepted string parameter values.

Contents: IRS | FRA | ZCS | SBS | OIS | Deposit | IRFuture | CapFloor

IRS

Interest Rate Swap: fixed vs floating leg. Python wrapper composing FixedLeg + FloatLeg.

See also: Pricing Guide for rates instrument pricing workflows.

Alias: IRS = InterestRateSwap

Constructor

IRS(
    *,
    spec=None,
    effective=None,
    termination=None,
    frequency="a",
    fixed_rate=0.0,
    notional=1_000_000.0,
    convention="act360",
    float_convention=None,
    fixing_method="rfr_payment_delay",
    spread=0.0,
    calendar=None,
    payment_lag=None,
    currency="USD",
    amortization=None,
    fixed_amortization=None,
    float_amortization=None,
    modifier="mf",
    stub="shortfront",
    disc_curve_id=None,
    forecast_curve_id=None,
)

Parameters

Name	Type	Default	Description
`spec`	`str` or `None`	`None`	Instrument spec name (overrides individual params)
`effective`	`datetime.date` or `None`	`None`	Start date of the swap
`termination`	`date`, `str`, or `None`	`None`	End date or tenor string (e.g., `"5Y"`)
`frequency`	`str`	`"a"`	Payment frequency for both legs
`fixed_rate`	`float`	`0.0`	Fixed leg rate (percentage, e.g., `3.0` for 3%)
`notional`	`float`	`1_000_000.0`	Notional amount
`convention`	`str`	`"act360"`	Day count convention for the fixed leg
`float_convention`	`str` or `None`	`None`	Day count convention for the float leg (defaults to `convention`)
`fixing_method`	`str`	`"rfr_payment_delay"`	Rate fixing method
`spread`	`float`	`0.0`	Spread on the floating leg (basis points)
`calendar`	`str` or `None`	`None`	Named calendar (e.g., `"NYC"`, `"LDN"`)
`payment_lag`	`int` or `None`	`None`	Payment lag in business days
`currency`	`str`	`"USD"`	Currency code
`amortization`	schedule or `None`	`None`	Amortization schedule for both legs
`fixed_amortization`	schedule or `None`	`None`	Amortization schedule for fixed leg only
`float_amortization`	schedule or `None`	`None`	Amortization schedule for float leg only
`modifier`	`str`	`"mf"`	Business day adjustment rule
`stub`	`str`	`"shortfront"`	Stub period preference
`disc_curve_id`	`str` or `None`	`None`	Discount curve identifier for Solver lookup
`forecast_curve_id`	`str` or `None`	`None`	Forecast curve identifier for Solver lookup

See Conventions for accepted values for frequency, convention, fixing_method, modifier, and stub.

Methods

Method	Returns	Description
`.rate(curves, *, solver=None)`	`float`	Par rate against curves
`.npv(curves, *, solver=None)`	`float`	Net present value
`.cashflows(curves, *, solver=None)`	`DataFrame`	Period-level cashflow table
`.spread(curves, *, solver=None)`	`float`	Par spread

The curves parameter accepts a DiscountCurve, LineCurve, list, dict, or None. When using a Solver, pass the solver and curves are resolved by disc_curve_id/forecast_curve_id.

Example

import datetime
from vade import IRS, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2025, 1, 1): 0.97, datetime.date(2026, 1, 1): 0.94}
curve = DiscountCurve(nodes, interpolation="log_linear", convention="act365f")

irs = IRS(
    effective=datetime.date(2024, 1, 1),
    termination="1Y",
    frequency="a",
    fixed_rate=3.0,
    convention="act365f",
)
irs.npv(curve)  # 817.9264117309795
irs.rate(curve)  # 3.084091921661261

FRA

Forward Rate Agreement: single-period forward rate instrument. Python wrapper composing a single FloatPeriod.

Alias: FRA = ForwardRateAgreement

Constructor

FRA(
    *,
    spec=None,
    effective=None,
    termination=None,
    notional=1_000_000.0,
    fixed_rate=0.0,
    convention="act360",
    fixing_method="rfr_payment_delay",
    calendar=None,
    disc_curve_id=None,
    forecast_curve_id=None,
)

Parameters

Name	Type	Default	Description
`spec`	`str` or `None`	`None`	Instrument spec name
`effective`	`datetime.date` or `None`	`None`	Start date
`termination`	`date`, `str`, or `None`	`None`	End date or tenor string (e.g., `"6M"`)
`notional`	`float`	`1_000_000.0`	Notional amount
`fixed_rate`	`float`	`0.0`	Fixed rate (percentage)
`convention`	`str`	`"act360"`	Day count convention
`fixing_method`	`str`	`"rfr_payment_delay"`	Rate fixing method
`calendar`	`str` or `None`	`None`	Named calendar
`disc_curve_id`	`str` or `None`	`None`	Discount curve identifier for Solver lookup
`forecast_curve_id`	`str` or `None`	`None`	Forecast curve identifier for Solver lookup

See Conventions for accepted values for convention and fixing_method.

Methods

Method	Returns	Description
`.rate(curves, *, solver=None)`	`float`	Par rate against curves
`.npv(curves, *, solver=None)`	`float`	Net present value
`.cashflows(curves, *, solver=None)`	`DataFrame`	Period-level cashflow table
`.spread(curves, *, solver=None)`	`float`	Par spread

Example

import datetime
from vade import FRA, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2024, 7, 1): 0.985, datetime.date(2025, 1, 1): 0.97}
curve = DiscountCurve(nodes, interpolation="log_linear", convention="act360")

fra = FRA(
    effective=datetime.date(2024, 3, 1),
    termination="6M",
    fixed_rate=3.5,
    convention="act360",
)
fra.rate(curve)  # forward rate implied by the curve
fra.npv(curve)  # NPV of the FRA position

ZCS

Zero Coupon Swap: zero-coupon fixed vs floating leg. Python wrapper composing ZeroFixedLeg + ZeroFloatLeg.

Alias: ZCS = ZeroCouponSwap

Constructor

ZCS(
    *,
    spec=None,
    effective=None,
    termination=None,
    fixed_rate=0.0,
    notional=1_000_000.0,
    convention="act360",
    float_convention=None,
    fixing_method="rfr_payment_delay",
    spread=0.0,
    calendar=None,
    currency="USD",
    disc_curve_id=None,
    forecast_curve_id=None,
)

Parameters

Name	Type	Default	Description
`spec`	`str` or `None`	`None`	Instrument spec name
`effective`	`datetime.date` or `None`	`None`	Start date
`termination`	`date`, `str`, or `None`	`None`	End date or tenor string
`fixed_rate`	`float`	`0.0`	Fixed leg rate (percentage)
`notional`	`float`	`1_000_000.0`	Notional amount
`convention`	`str`	`"act360"`	Day count convention for the fixed leg
`float_convention`	`str` or `None`	`None`	Day count convention for the float leg
`fixing_method`	`str`	`"rfr_payment_delay"`	Rate fixing method
`spread`	`float`	`0.0`	Spread on the floating leg (basis points)
`calendar`	`str` or `None`	`None`	Named calendar
`currency`	`str`	`"USD"`	Currency code
`disc_curve_id`	`str` or `None`	`None`	Discount curve identifier for Solver lookup
`forecast_curve_id`	`str` or `None`	`None`	Forecast curve identifier for Solver lookup

See Conventions for accepted values for convention and fixing_method.

Methods

Method	Returns	Description
`.rate(curves, *, solver=None)`	`float`	Par rate against curves
`.npv(curves, *, solver=None)`	`float`	Net present value
`.cashflows(curves, *, solver=None)`	`DataFrame`	Period-level cashflow table
`.spread(curves, *, solver=None)`	`float`	Par spread

Example

import datetime
from vade import ZCS, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2025, 1, 1): 0.97, datetime.date(2026, 1, 1): 0.94}
curve = DiscountCurve(nodes, interpolation="log_linear", convention="act365f")

zcs = ZCS(
    effective=datetime.date(2024, 1, 1),
    termination="2Y",
    fixed_rate=3.0,
    convention="act365f",
)
zcs.rate(curve)  # par zero-coupon rate
zcs.npv(curve)  # NPV of the ZCS position

SBS

Single Basis Swap: two floating legs with different frequencies. Python wrapper composing two FloatLegs.

Alias: SBS = SingleBasisSwap

Constructor

SBS(
    *,
    spec=None,
    effective=None,
    termination=None,
    frequency="q",
    leg2_frequency="s",
    notional=1_000_000.0,
    spread=0.0,
    convention="act360",
    leg2_convention=None,
    fixing_method="rfr_payment_delay",
    leg2_fixing_method=None,
    calendar=None,
    payment_lag=None,
    currency="USD",
    modifier="mf",
    stub="shortfront",
    disc_curve_id=None,
    forecast_curve_id=None,
)

Parameters

Name	Type	Default	Description
`spec`	`str` or `None`	`None`	Instrument spec name
`effective`	`datetime.date` or `None`	`None`	Start date
`termination`	`date`, `str`, or `None`	`None`	End date or tenor string
`frequency`	`str`	`"q"`	Leg 1 payment frequency
`leg2_frequency`	`str`	`"s"`	Leg 2 payment frequency
`notional`	`float`	`1_000_000.0`	Notional amount
`spread`	`float`	`0.0`	Spread on leg 1 (basis points)
`convention`	`str`	`"act360"`	Day count convention for leg 1
`leg2_convention`	`str` or `None`	`None`	Day count convention for leg 2 (defaults to `convention`)
`fixing_method`	`str`	`"rfr_payment_delay"`	Rate fixing method for leg 1
`leg2_fixing_method`	`str` or `None`	`None`	Rate fixing method for leg 2 (defaults to `fixing_method`)
`calendar`	`str` or `None`	`None`	Named calendar
`payment_lag`	`int` or `None`	`None`	Payment lag in business days
`currency`	`str`	`"USD"`	Currency code
`modifier`	`str`	`"mf"`	Business day adjustment rule
`stub`	`str`	`"shortfront"`	Stub period preference
`disc_curve_id`	`str` or `None`	`None`	Discount curve identifier for Solver lookup
`forecast_curve_id`	`str` or `None`	`None`	Forecast curve identifier for Solver lookup

See Conventions for accepted values for frequency, convention, fixing_method, modifier, and stub.

Methods

Method	Returns	Description
`.rate(curves, *, solver=None)`	`float`	Par basis spread
`.npv(curves, *, solver=None)`	`float`	Net present value
`.cashflows(curves, *, solver=None)`	`DataFrame`	Period-level cashflow table
`.spread(curves, *, solver=None)`	`float`	Par spread

Example

import datetime
from vade import SBS, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2025, 1, 1): 0.97, datetime.date(2026, 1, 1): 0.94}
curve = DiscountCurve(nodes, interpolation="log_linear", convention="act360")

sbs = SBS(
    effective=datetime.date(2024, 1, 1),
    termination="2Y",
    frequency="q",
    leg2_frequency="s",
    convention="act360",
)
sbs.rate(curve)  # par basis spread between the two tenors
sbs.npv(curve)  # NPV of the basis swap

OIS

Overnight Indexed Swap: fixed vs RFR floating leg with compounding. Python wrapper composing FixedLeg + FloatLeg with RFR compounding.

Alias: OIS = OvernightIndexedSwap

Constructor

OIS(
    *,
    spec=None,
    effective=None,
    termination=None,
    frequency="a",
    fixed_rate=0.0,
    notional=1_000_000.0,
    convention="act360",
    float_convention=None,
    fixing_method="rfr_payment_delay",
    spread=0.0,
    calendar=None,
    payment_lag=None,
    currency="USD",
    amortization=None,
    fixed_amortization=None,
    float_amortization=None,
    compounding_method=None,
    lockout=None,
    lookback=None,
    modifier="mf",
    stub="shortfront",
    disc_curve_id=None,
    forecast_curve_id=None,
)

Parameters

Name	Type	Default	Description
`spec`	`str` or `None`	`None`	Instrument spec name
`effective`	`datetime.date` or `None`	`None`	Start date
`termination`	`date`, `str`, or `None`	`None`	End date or tenor string
`frequency`	`str`	`"a"`	Payment frequency
`fixed_rate`	`float`	`0.0`	Fixed leg rate (percentage)
`notional`	`float`	`1_000_000.0`	Notional amount
`convention`	`str`	`"act360"`	Day count convention for the fixed leg
`float_convention`	`str` or `None`	`None`	Day count convention for the float leg
`fixing_method`	`str`	`"rfr_payment_delay"`	Rate fixing method
`spread`	`float`	`0.0`	Spread on the floating leg (basis points)
`calendar`	`str` or `None`	`None`	Named calendar
`payment_lag`	`int` or `None`	`None`	Payment lag in business days
`currency`	`str`	`"USD"`	Currency code
`amortization`	schedule or `None`	`None`	Amortization schedule for both legs
`fixed_amortization`	schedule or `None`	`None`	Amortization schedule for fixed leg only
`float_amortization`	schedule or `None`	`None`	Amortization schedule for float leg only
`compounding_method`	`str` or `None`	`None`	RFR compounding method (e.g., `"rfr_obs_shift"`)
`lockout`	`int` or `None`	`None`	Number of lockout days before period end
`lookback`	`int` or `None`	`None`	Number of lookback days for rate observation
`modifier`	`str`	`"mf"`	Business day adjustment rule
`stub`	`str`	`"shortfront"`	Stub period preference
`disc_curve_id`	`str` or `None`	`None`	Discount curve identifier for Solver lookup
`forecast_curve_id`	`str` or `None`	`None`	Forecast curve identifier for Solver lookup

See Conventions for accepted values for frequency, convention, fixing_method, modifier, and stub.

Methods

Method	Returns	Description
`.rate(curves, *, solver=None)`	`float`	Par rate against curves
`.npv(curves, *, solver=None)`	`float`	Net present value
`.cashflows(curves, *, solver=None)`	`DataFrame`	Period-level cashflow table
`.spread(curves, *, solver=None)`	`float`	Par spread

Example

import datetime
from vade import OIS, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2025, 1, 1): 0.97, datetime.date(2026, 1, 1): 0.94}
curve = DiscountCurve(nodes, interpolation="log_linear", convention="act365f")

ois = OIS(
    effective=datetime.date(2024, 1, 1),
    termination="1Y",
    frequency="a",
    fixed_rate=3.0,
    convention="act365f",
)
ois.rate(curve)  # par OIS rate
ois.npv(curve)  # NPV of the OIS position

Deposit

Deposit instrument for short-end curve calibration. Rust-backed.

Constructor

Deposit(
    *,
    effective=None,
    termination=None,
    rate=0.0,
    notional=1_000_000.0,
    convention="act360",
    disc_curve_id=None,
    forecast_curve_id=None,
)

Parameters

Name	Type	Default	Description
`effective`	`datetime.date` or `None`	`None`	Start date
`termination`	`date`, `str`, or `None`	`None`	End date or tenor string (e.g., `"3M"`)
`rate`	`float`	`0.0`	Deposit rate (percentage)
`notional`	`float`	`1_000_000.0`	Notional amount
`convention`	`str`	`"act360"`	Day count convention
`disc_curve_id`	`str` or `None`	`None`	Discount curve identifier for Solver lookup
`forecast_curve_id`	`str` or `None`	`None`	Forecast curve identifier for Solver lookup

See Conventions for accepted values for convention.

Methods

Method	Returns	Description
`.rate(curves, *, solver=None)`	`float`	Par rate against curves
`.npv(curves, *, solver=None)`	`float`	Net present value
`.cashflows(curves, *, solver=None)`	`DataFrame`	Period-level cashflow table
`.spread(curves, *, solver=None)`	`float`	Par spread

Example

import datetime
from vade import Deposit, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2024, 4, 1): 0.9925, datetime.date(2024, 7, 1): 0.985}
curve = DiscountCurve(nodes, interpolation="log_linear", convention="act360")

dep = Deposit(
    effective=datetime.date(2024, 1, 1),
    termination="3M",
    rate=3.0,
    convention="act360",
)
dep.rate(curve)  # par deposit rate implied by the curve
dep.npv(curve)  # NPV of the deposit

IRFuture

STIR Futures instrument with convexity adjustment. Rust-backed.

Constructor

IRFuture(
    *,
    effective=None,
    termination=None,
    price=100.0,
    notional=1_000_000.0,
    convexity_adjustment=0.0,
    convention="act360",
    quote_convention="price",
    sigma=None,
    tick_size=None,
    notional_multiplier=None,
    contract_size=None,
    disc_curve_id=None,
    forecast_curve_id=None,
)

Parameters

Name	Type	Default	Description
`effective`	`datetime.date` or `None`	`None`	Contract start date
`termination`	`date`, `str`, or `None`	`None`	Contract end date or tenor string
`price`	`float`	`100.0`	Futures price (e.g., `96.5` implies ~3.5% rate)
`notional`	`float`	`1_000_000.0`	Notional amount
`convexity_adjustment`	`float`	`0.0`	Convexity adjustment in basis points
`convention`	`str`	`"act360"`	Day count convention
`quote_convention`	`str`	`"price"`	Quote convention (`"price"` or `"rate"`)
`sigma`	`float` or `None`	`None`	Volatility for automatic convexity calculation
`tick_size`	`float` or `None`	`None`	Minimum price increment
`notional_multiplier`	`float` or `None`	`None`	Notional multiplier per tick
`contract_size`	`float` or `None`	`None`	Contract size
`disc_curve_id`	`str` or `None`	`None`	Discount curve identifier for Solver lookup
`forecast_curve_id`	`str` or `None`	`None`	Forecast curve identifier for Solver lookup

See Conventions for accepted values for convention.

Methods

Method	Returns	Description
`.rate(curves, *, solver=None)`	`float`	Implied forward rate
`.npv(curves, *, solver=None)`	`float`	Net present value
`.cashflows(curves, *, solver=None)`	`DataFrame`	Period-level cashflow table
`.spread(curves, *, solver=None)`	`float`	Par spread

Example

import datetime
from vade import IRFuture, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2024, 7, 1): 0.985, datetime.date(2025, 1, 1): 0.97}
curve = DiscountCurve(nodes, interpolation="log_linear", convention="act360")

irf = IRFuture(
    effective=datetime.date(2024, 6, 1),
    termination="3M",
    price=96.5,
    convention="act360",
)
irf.rate(curve)  # implied forward rate from the curve
irf.npv(curve)  # NPV based on price vs implied rate

CapFloor

Cap/Floor instrument with Black-76 or Bachelier pricing. Python wrapper composing caplet/floorlet periods.

See also: Cap & Floor Guide for cap/floor pricing and vol surface usage.

Constructor

CapFloor(
    *,
    effective=None,
    termination=None,
    strike=0.0,
    vol=0.0,
    notional=1_000_000.0,
    frequency="q",
    cap_floor_type="cap",
    model="black76",
    convention="act360",
    currency="USD",
)

Parameters

Name	Type	Default	Description
`effective`	`datetime.date` or `None`	`None`	Start date
`termination`	`date`, `str`, or `None`	`None`	End date or tenor string
`strike`	`float`	`0.0`	Strike rate (percentage)
`vol`	`float`	`0.0`	Volatility (decimal, e.g., `0.20` for 20%)
`notional`	`float`	`1_000_000.0`	Notional amount
`frequency`	`str`	`"q"`	Caplet/floorlet frequency
`cap_floor_type`	`str`	`"cap"`	Type: `"cap"` or `"floor"`
`model`	`str`	`"black76"`	Pricing model: `"black76"` or `"bachelier"`
`convention`	`str`	`"act360"`	Day count convention
`currency`	`str`	`"USD"`	Currency code

See Conventions for accepted values for frequency and convention.

Methods

Method	Returns	Description
`.npv(disc_curve, forecast_curve)`	`float`	Net present value using Black-76 or Bachelier
`.cashflows(disc_curve, forecast_curve)`	`DataFrame`	Caplet/floorlet-level cashflow table

Note: CapFloor does not have .rate() or solver keyword arguments. Both disc_curve and forecast_curve are required positional parameters.

Example

import datetime
from vade import CapFloor, DiscountCurve

nodes = {datetime.date(2024, 1, 1): 1.0, datetime.date(2025, 1, 1): 0.97, datetime.date(2026, 1, 1): 0.94}
disc = DiscountCurve(nodes, interpolation="log_linear", convention="act365f")
forecast = DiscountCurve(nodes, interpolation="log_linear", convention="act365f")

cap = CapFloor(
    effective=datetime.date(2024, 1, 1),
    termination="1Y",
    strike=3.0,
    vol=0.20,
    frequency="q",
    cap_floor_type="cap",
    model="black76",
    convention="act360",
)
cap.npv(disc, forecast)  # NPV of the interest rate cap

Rates Instruments

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