MakeFloatFloatCrossCurrencySwap

class quantsupport.instruments.MakeFloatFloatCrossCurrencySwap(*, identifier: str, start_date: Date | str | datetime.date | None = ..., maturity_date: Date | str | datetime.date | None = ..., domestic_notional: float, foreign_notional: float, domestic_currency: Currency | str, foreign_currency: Currency | str, domestic_market_index: MarketIndex | str | Mapping[str, Any], foreign_market_index: MarketIndex | str | Mapping[str, Any], domestic_spread: float = ..., foreign_spread: float = ..., domestic_leg_frequency: Any | None = ..., foreign_leg_frequency: Any | None = ..., start_tenor: Period | str | None = ..., tenor: Period | str | None = ...)

Bases: MakeInstrument[CrossCurrencySwap] Reusable maker for CrossCurrencySwap. Both build methods return a concrete product.

Stores copied construction parameters.

Parameters:

  • identifier (str) – Product identifier for the two-currency floating-rate contract.

  • start_date (_DateLike | None) – Initial exchange and accrual date; ISO date strings are accepted.

  • maturity_date (_DateLike | None) – Final exchange and accrual date of both legs.

  • domestic_notional (float) – Domestic-leg principal in domestic_currency; Trade can override it.

  • foreign_notional (float) – Foreign-leg principal in foreign_currency; Trade can override it.

  • domestic_currency (_CurrencyLike) – Currency enum or alphabetic code for the domestic floating leg.

  • foreign_currency (_CurrencyLike) – Currency enum or alphabetic code for the foreign floating leg.

  • domestic_market_index (_IndexLike) – Domestic floating-rate reference index or native index representation.

  • foreign_market_index (_IndexLike) – Foreign floating-rate reference index or native index representation.

  • domestic_spread (float) – Annual decimal margin on the domestic index; default 0.0.

  • foreign_spread (float) – Annual decimal margin on the foreign index; default 0.0.

  • domestic_leg_frequency (Any | None) – Domestic coupon payment interval; default None uses Semiannual.

  • foreign_leg_frequency (Any | None) – Foreign coupon payment interval; default None uses Semiannual.

  • start_tenor (_PeriodLike | None) – Start offset from the context evaluation date. Omitted or None leaves this input unset.

  • tenor (_PeriodLike | None) – Maturity offset from the explicit or constructed start date. Omitted or None leaves this input unset.

Source declaration

Methods

__getitem__(key: str, /) → Any
Returns a copied construction parameter.
Parameters:

key (str) – Name of the construction parameter to read.

classmethod from_dict(parameters: Mapping[str, Any]) → Self

Creates a maker from copied construction parameters.

Parameters:

parameters (Mapping[str, Any]) – Product constructor fields and optional relative tenor fields.