Python Library for OpenRedukti - API Reference¶

redukti module¶

class redukti.ADVar(int n_vars, int order, int variable, double initial_value)¶

Bases: object

ADVar represents an automatically differentiated variable.

An ADVar object contains a numeric value, but additionally it may contain a gradient vector and a 2-dimensional hessian matrix.

Each ADVar object has a variable id which must be unique within the context of a calculation. Variable ids start with 0, and if there are 3 variables in a calculation, then the variables would have ids 0, 1, and 2.

Note that all ADVars in a calculation must have the same number size and order.

Note that ADVar objects are heavyweight and not efficient to use in Python code. Most operations on ADVar create new values, so in a sense these are immutable objects in Python code.

Construct a new ADVar variable.

Parameters

n_vars – Number of variables in the function
order – The order can be 0, 1, or 2 and says whether 1st order and 2nd order derivatives should be computed
variable – This variable’s id in the function’s set of variables, -1 can be used signify no position
initial_value – The value assigned to the variable initailly

assign(self, ADVar other)¶

Sets this variables data to be the same as the other.

Parameters: other – The variable to be copied from

Note that the other variable must be the same size and order

exp(self)¶

Computes exp(var)

Returns: exponent
Return type: ADVar

gradient(self)¶: Returns the first order derivatives if available else empty list

hessian(self)¶: Returns the second order derivatives if available else empty list

log(self)¶

Computes log(var)

Returns: natural logarithm
Return type: ADVar

value(self)¶: Returns the value of the variable.

class redukti.Date(int value)¶

Bases: object

Holds a date value as the number of days since civil 1899-12-31.

Negative values indicate days prior to 1899-12-31. Note that OpenRedukti requires dates to be in the range 1901-01-01 and 2199-12-31.

Constructs a Date object from a serial number

Parameters: value – serial number
Returns: Date object
Return type: Date

advance(self, int n, PeriodUnit unit)¶

Adds or subtracts a period from a date.

When handling month periods it ensures that the day stays the same if possible, but if not (e.g. no 29th Feb in final date) then the day is adjusted to fit in the month When handling year periods, the day and month are kept the same if possible or adjusted as above.

Parameters

d (Date) – Input date
n (int) – quantity
unit (enums_pb2.PeriodUnit) – The unit of n

Returns

New Date object

Return type

Date

day(self) → int¶

Returns: Day component
Return type: int

static dmy(unsigned int d, unsigned int m, int y)¶

Constructs a Date object from day, month, year.

Parameters

d (int) – Day of month, 1 based
m (int) – Month of the year, 1 based
y (int) – Year in YYYY

month(self) → int¶

Returns: month component
Return type: int

static parse(s)¶

Parses a string representation of date.

The parser will detect separator character ‘/’ or ‘-‘. The formats acceptable are ‘yyyy/mm/dd’, ‘dd/mm/yyyy’, ‘yyyy-mm-dd’, or ‘dd-mm-yyyy’

Parameters: s (str) – Input string containing a date value in supported format
Returns: if parsing is successful
Return type: Date
Raises: ValueError – if input cannot be parsed

serial(self) → int¶

Returns: serial number
Return type: int

year(self) → int¶

Returns: returns year component
Return type: int

class redukti.Calendar(list business_centres)¶

Bases: object

Represents a Business/Holiday Calendar for a business center or a combination of business centers.

The Calendar interface provides the means to determine whether a given date is a holiday for a business center or not. Also the interface provides methods for adjusting dates as per the holiday calendar.

Calendar instances are immutable.

Currently in-built business centers are AUSY, USNY, GBLO, EUTA, JPTO and BRSP Calendars can be overridden or added for other business centers using the register_calendar() method

Constructs a Calendar instance for specified list of business centers.

Parameters: business_centres – List of business centers

adjust(self, Date date, BusinessDayConvention convention=enums.BusinessDayConvention.FOLLOWING)¶

If given date falls on holiday then a new date is computed that is a business day, else same date is returned

Parameters

date – Date to be checked
convention – Business Day Convention, defaults to FOLLOWING

Returns

New Date object

advance(self, Date date, int n, PeriodUnit unit, BusinessDayConvention convention=enums.BusinessDayConvention.FOLLOWING, bool is_eom=False)¶

Advances the given date by the given period and if the resulting date is a holiday then adjusts it to be on a business day.

Parameters

date – Date from which new date is to be computed
n – Number of units
unit – Type of units
convention – Business Day Convention, defaults to FOLLOWING
is_eom – Boolean value to indicate whether EOM convention should be applied, defaults to False

Returns

New Date object

is_holiday(self, Date d) → bool¶

Determines if the given date is a holiday as per this calendar.

Parameters: d – date to be checked
Returns: True if it is a holiday

last_day_of_month(self, Date d)¶

Computes the last business date of the month/year in given date

Parameters: d – Date to be used to compute the last business day of month
Returns: New Date object representing the last business day of the month

static register_calendar(BusinessCenter id, list holidays)¶

Creates a calendar from a set of holidays and assign it to the business center

If the assignment is successful the service will take ownership of the instance May fail if calendar instance already set and has been accessed by a client - i.e. new calendars can only be set prior to any use.

class redukti.ScheduleGenerator¶

Bases: object

Utilities for generating schedules for interest rate products. The algorithm is based upon the FpML specifications.

static generate_schedule(schedule_parameters)¶

Generates a schedule

Parameters: schedule_parameters (schedule_pb2.ScheduleParameters) – parameters for schedule generation
Returns: computed schedule
Return type: schedule_pb2.Schedule

class redukti.DayFraction(DayCountFraction dfc)¶

Bases: object

Day Count Fraction calculator.

Computes the difference between dates as per Day Count Convention. The difference is measured in factional units of a year, where one year 1.0.

Constructs a DayFraction object :param dfc: The Day Count Fraction enum

year_fraction(self, Date d1, Date d2) → double¶

Calculates the day fraction between two dates

Parameters

d1 – First date
d2 – Second date

Returns

A decimal expressed as a year fraction

year_fraction_with_finalperiod(self, Date d1, Date d2, bool final_period) → double¶

Calculates the day fraction between two dates, only used for 30E/360.ISDA

Parameters

d1 – First date
d2 – Second date
final_period – The finalPeriod flag indicates whether this fraction is for the final period - i.e. d2 is maturity date.

Returns

A decimal expressed as a year fraction

year_fraction_with_refdates(self, Date d1, Date d2, Date ref_date1, Date ref_date2) → double¶

Calculates the day fraction between two dates, Used only for ACT/ACT.ISMA

Parameters

d1 – First date
d2 – Second date
ref_date1 – If regular period or front stub then adjusted end date minus calculation period frequency (roll convention NONE), else adjusted start date
ref_date2 – If regular period or front stub then adjusted end date, else adjusted start date plus calculation period frequency (roll convention NONE)

Returns

A decimal expressed as a year fraction

class redukti.InterestRateIndex¶

Bases: object

An interest rate index representation.

An object of this type is immutable.

adjust_date(self, Date unadjusted, int days) → Date¶

date_components(self, Date accrual_start_date)¶

For a given accrual start date, computes fixing date, value date and maturity date

Parameters: accrual_start_date – Adjusted start date
Returns: Tuple containing fixing date, value date and maturity date

fixing_date(self, Date accrual_start_date) → Date¶

Given a value date, calculate the fixing date

Applies the calendars and day conventions associated with the index

static get_index(Currency currency, IndexFamily index_family, Tenor tenor)¶: Obtains an instance by Currency, IndexFamily and Tenor

static get_index_by_isdaindex(IsdaIndex isda_index, Tenor tenor)¶: Obtains an instance by IsdaIndex and Tenor

maturity_date(self, Date value_date) → Date¶

Given a value date calculate the maturity date

Applies the calendars and day conventions associated with the index

value_date(self, Date fixing_date) → Date¶

Given a fixing date, calculate the value date

Applies the calendars and day conventions associated with the index

class redukti.Interpolator(InterpolatorType interpolator_type, array x, array y, int order=0)¶

Bases: object

An Interpolator computes values between ranges based upon an interpolation method.

Several methods are supported.

LINEAR
LOG_LINEAR
MONOTONE_CONVEX
FLAT_RIGHT
FLAT_LEFT
CUBIC_SPLINE_NATURAL
LOG_CUBIC_SPLINE_NATURAL

An Interpolator can not only interpolate values, but also compute sensitivities to the fixed points in the x-axis.

Note that the Interpolators operate on the arrays supplied by the user; these are not copied. Since some interpolators pre-compute data, if the underlying arrays change these changes will not be reflected hence please do not change the input arrays.

TODO prevent extrapolation

Parameters

interpolator_type (enums_pb2.InterpolatorType) – The type of interpolator
x (array) – Array of doubles representing x-axis
y (array) – Array of doubles representing y-axis
order (int) – Whether the interpolator should compute derivatives, 0=No, 1=First order only, 2=First and second order.

Returns

constructed interpolator object

Return type

Interpolator

interpolate(self, double x) → double¶

Interpolates a value for the given point

Parameters: x (float) – The point at which an interpolated value is desired
Returns: interpolated value
Return type: float

interpolate_with_numeric_sensitivities(self, double x) → ADVar¶

Interpolates a value for the given point, and sensitivities of the value to fixed points. Sensitivities computed numerically.

Parameters: x (float) – The point at which an interpolated value is desired
Returns: interpolated value and sensitivities to the fixed points
Return type: ADVar

interpolate_with_sensitivities(self, double x) → ADVar¶

Interpolates a value for the given point, and sensitivities of the value to fixed points. Sensitivities computed via autodiff.

Parameters: x (float) – The point at which an interpolated value is desired
Returns: interpolated value and sensitivities to the fixed points
Return type: ADVar

class redukti.YieldCurve(Date business_date, curve_defn, zero_curve, int deriv_order=2, PricingCurveType type=enums.PRICING_CURVE_TYPE_FORWARD, MarketDataQualifier mdq=enums.MDQ_NORMAL, int cycle=0, int scenario=0)¶

Bases: object

Generic YieldCurve which may be an InterpolatedYieldCurve or a SvenssonYieldCurve. Due to technical limitations the YieldCurve instance is not a supertype of either but has the same interface.

Parameters

business_date (Date) – The business date
curve_defn (curve_pb2.IRCurveDefinition) – The Interest Rate Curve definition
zero_curve (redukti.curve_pb2.ZeroCurve) – For InterpolatedYieldCurves this must supply list of maturities and zero rates, for SvenssonCurves it must supply the 6 parameters
deriv_order (int) – Whether the interpolator should compute derivatives, 0=No, 1=First order only, 2=First and second order. Note that SvenssonCurve does not support derivatives
type (enums.PricingCurveType) – A classifier that says whether the curve is to be used only for forward rates or both forward rates and discounting.
mdq (enums.MarketDataQualifier) – A classifier that says whether the curve belongs to Closing market data or Normal, i.e. intra-day, market data
cycle (int) – An identifier to differentiate between other market data sets for a given business day, and MarketDataQualifier. Should be incremented for each set
scenario (int) – Scenario identifier. Curves with scenario 0 support sensitivities. All other values do not compute sensitivities.

Returns

An instance of the YieldCurve

Return type

YieldCurve

discount(self, Date d) → double¶

Computes the discount factor for the given date

Parameters: d (Date) – Date for which discount factor is desired
Returns: Desired discount factor
Return type: float

forward_rate(self, Date d1, Date d2) → double¶

Computes the forward rate between two dates

Parameters

d1 (Date) – Start date
d2 (Date) – End date

Returns

Forward rate for the specified dates

Return type

float

get_sensitivities(self, double x) → ADVar¶

Obtains sensitivities of x to the interpolator’s fixed points. This function is only available on interpolated curves. If you invoke this on a parametric curve you will get None as the answer.

Parameters: x (float) – A value in the range of the interpolator’s x-axis
Returns: An ADVar containing first order and second order sensitivities depending upon how the interpolator was configured
Return type: ADVar

time_from_reference(self, Date d) → double¶

Gets time from the curve’s reference date to the given date expressed as a year fraction

Parameters: d (Date) – date to be converted
Returns: A double value expressing the time from curve’s reference date
Return type: float

zero_rate(self, Date d) → double¶

Computes the continuously compounded zero rate for a given date

Parameters: d (Date) – Date for which the zero rate is desired
Returns: Continuously compounded zero rate at the given date
Return type: float

class redukti.CurveId(PricingCurveType pricing_curve_type, Currency ccy, IndexFamily index_family, Tenor tenor, Date as_of_date, int cycle=0, MarketDataQualifier qualifier=enums.MDQ_NORMAL, int scenario=0)¶

Bases: object

CurveId constructs a long value encoding a number of curve attributes. This is used as the curve identifier.

Parameters

pricing_curve_type (enums_pb2.PricingCurveType) – A classifier that says whether the curve is to be used only for forward rates or both forward rates and discounting.
ccy (enums_pb2.Currency) – The currency of the curve
index_family (enums_pb2.IndexFamily) – The Index Family of the curve
tenor (enums_pb2.Tenor) – If this curve is specialized for a tenor then this should identify the tenor else use TENOR_UNSPECIFIED
as_of_date (Date) – The business date
cycle (int) – An identifier to differentiate between other market data sets for a given business day, and MarketDataQualifier. Should be incremented for each set
qualifier (enums_pb2.MarketDataQualifier) – A classifier that says whether the curve belongs to Closing market data or Normal, i.e. intra-day, market data
scenario (int) – Scenario identifier. Curves with scenario 0 support sensitivities. All other values do not compute sensitivities.

Returns

The constructed curve identifier

Return type

CurveId

id(self) → long long¶

Returns: The long value constructed from the curve parameters
Return type: int

class redukti.InterpolatedYieldCurve(long long id, Date as_of_date, list maturities, list values, InterpolatorType interpolator_type, IRRateType rate_type, int deriv_order, DayCountFraction fraction)¶

Bases: object

YieldCurve that operates on top of an interpolator.

The curve can interpolate on discount factors or zero rates, except for MonotoneConvex which can only interpolate on zero rates.

Parameters

id (int) – An id for the curve, this may be 0, but is usually the result of CurveId.id(), especially when curve will be used in pricing.
as_of_date (Date) – The business date
maturities (list) – List of redukti.Date values for curve’s fixed points
values (list) – List of float values - either zero rates or discount factors, depending on rate_type parameter
interpolator_type (enums_pb2.InterpolatorType) – The type of interpolator to be used
rate_type (enums.IRRateType) – Specifies whether the values are zero rates or discount factors
deriv_order (int) – Whether the interpolator should compute derivatives, 0=No, 1=First order only, 2=First and second order. Note that SvenssonCurve does not support derivatives
fraction (enums_pb2.DayCountFraction) – The Day Count Fraction for computing time intervals

discount(self, Date d) → double¶

Computes the discount factor for the given date

Parameters: d (Date) – Date for which discount factor is desired
Returns: Desired discount factor
Return type: float

forward_rate(self, Date d1, Date d2) → double¶

Computes the forward rate between two dates

Parameters

d1 (Date) – Start date
d2 (Date) – End date

Returns

Forward rate for the specified dates

Return type

float

get_sensitivities(self, double x) → ADVar¶

Obtains sensitivities of x to the interpolator fixed points.

Parameters: x (float) – A value in the range of the interpolator’s x-axis
Returns: An ADVar containing first order and second order sensitivities depending upon how the interpolator was configured
Return type: ADVar

time_from_reference(self, Date d) → double¶

Gets time from the curve’s reference date to the given date expressed as a year fraction

Parameters: d (Date) – date to be converted
Returns: A double value expressing the time from curve’s reference date
Return type: float

zero_rate(self, Date d) → double¶

Computes the continuously compounded zero rate for a given date

Parameters: d (Date) – Date for which the zero rate is desired
Returns: Continuously compounded zero rate at the given date
Return type: float

class redukti.SvenssonCurve(long long id, Date as_of_date, list parameters, DayCountFraction fraction)¶

Bases: object

Svensson YieldCurve - this is a parametric yield curve.

This parametric yield curve computes rates using a formula that uses six parameters. For details please check documents on Svensson Yield curve.

As this is a parametric curve, it does not support computing rate sensitivities.

Parameters

id (int) – An id for the curve, this may be 0, but is usually the result of CurveId.id(), especially when curve will be used in pricing.
as_of_date (Date) – The business date
parameters (list) – The 6 curve parameters
fraction (enums_pb2.DayCountFraction) – The Day Count Fraction for computing time intervals

discount(self, Date d) → double¶

Computes the discount factor for the given date

Parameters: d (Date) – Date for which discount factor is desired
Returns: Desired discount factor
Return type: float

forward_rate(self, Date d1, Date d2) → double¶

Computes the forward rate between two dates

Parameters

d1 (Date) – Start date
d2 (Date) – End date

Returns

Forward rate for the specified dates

Return type

float

time_from_reference(self, Date d) → double¶

Gets time from the curve’s reference date to the given date expressed as a year fraction

Parameters: d (Date) – date to be converted
Returns: A double value expressing the time from curve’s reference date
Return type: float

zero_rate(self, Date d) → double¶

Computes the continuously compounded zero rate for a given date

Parameters: d (Date) – Date for which the zero rate is desired
Returns: Continuously compounded zero rate at the given date
Return type: float

class redukti.InMemoryRequestProcessor(pricing_script)¶

Bases: object

The InMemoryRequestProcessor creates internal instance of the OpenRedukti RequestProcessor class. This instance contains internal instances of the OpenRedukti CurveBuilderService and ValuationService and hence can process all requests that would normally be submitted to the OpenRedukti server over gRPC protocol.

The InMemoryRequestProcessor is useful when you only want to use the OpenRedukti functions internally in Python and do not need to interact with the OpenRedukti server.

The downside of this internal instance is that if there is a bug in the OpenRedukti code it can crash your Python instance. Hence this type of use is not recommended unless you have tested your interactions thoroughly and are confident that there will not be any issues.

Note that the InMemoryRequestProcessor is a relatively heavyweight object and some of its computations may take a while to run. Internally threads may be started by the linear algebra library used, additionally the CurveBuilderService creates its own Lua scripting VM.

Parameters: pricing_script (str) – The path to the Lua pricing script for the CurveBuildingService

serve(self, request)¶

Simple request processing service, designed to be compatible with the OpenRedukti server protocol.

Parameters: request (services_pb2.Request) – The request to process, one of the sub requests must be populated
Returns: The result returned from OpenRedukti
Return type: services_pb2.Response

redukti.library module¶

class redukti.library.GRPCAdapter(address)¶

Bases: object

Provides a service invocation adapter that connects to an OpenRedukti server over the gRPC protocol

is_local()¶

serve(request)¶

class redukti.library.InstrumentTemplateRepository¶

Bases: object

Repository of templates used to construct trades

add_template(id, template)¶

Adds a template to the repository

Parameters

id (str) – Unique id for the template
template (instrument_templates_pb2.InstrumentTemplate) – The template to be added

Returns

None

get_template(id)¶

Gets the specified template identified by id :param id: unique template id :type id: str

Returns: Template if available for the given id

show_templates()¶: Prints available templates

class redukti.library.LocalAdapter(pricing_script)¶

Bases: object

Provides a service invocation adapter that uses an internal InMemoryRequestProcessor to handle requests

Parameters: pricing_script (str) – Path of the pricing.lua script that is used by the CurveBuilder to construct cashflows

is_local()¶

serve(request)¶

class redukti.library.MarketData(date, curve_group)¶

Bases: object

The MarketData object encapsulates the market data required for valuation

The MarketData object provides utilities for loading market data from CSV format files.

Parameters

date (redukti.Date) – The business date
curve_group (enums_pb2.CurveGroup) – The curve group to which the market data belongs

business_date()¶: Returns the business date associated with this market data instance

curve_definitions()¶: Gives a list of the curve definitions currently loaded

curve_group()¶: Returns the CurveGroup associated with this market data instance

find_curve_definition(id)¶

Finds a curve definition by its id

Precondition is that curve definitions must have been loaded

find_zero_curve_by_id(definition_id)¶

Given a curve definition id, locates the corresponding ZeroCurve data object.

Parameters: definition_id – The curve definition id

fixings()¶: Returns the currently loaded fixings

has_fixings()¶: Checks if fixings are available (i.e. loaded)

init_zero_curves(bootstrap_curves_reply)¶

Converts the result from a curve building call to YieldCurve instances

Parameters: bootstrap_curves_reply (bootstrap_pb2.BootstrapCurvesReply) – reply from the Bootstrap command
Returns: Constructed list of YieldCurve objects

pricing_context()¶: Builds a default PricingContext object from the market data information

read_curvedefinitions(filename)¶

Reads Curve Definitions from a CSV format file

For an example file see: https://github.com/redukti/PyRedukti/blob/master/testdata/20121211/curve_definitions.csv

read_fixings(filename)¶

Reads Index Fixings from a CSV format file

For an example of fixings data file see: https://github.com/redukti/PyRedukti/blob/master/testdata/20121211/fixings.csv.

read_parcurves(filename)¶

Loads market quotes from a CSV format file

For an example see: https://github.com/redukti/PyRedukti/blob/master/testdata/20121211/par_rates.csv.

yield_curves()¶

Gives a list of the yield curves currently available locally

Note that the list is in the same order as the curve definitions

class redukti.library.ServerCommand(adapter)¶

Bases: object

The ServerCommand object encapsulates interactions withe OpenRedukti Valuation and Curve Building Services.

It communicates with the OpenRedukti Valuation/Curve Building sevices via an Adapter, which allows the interface to switch from local InMemoryRequestProcessor to a remote OpenRedukti Server instance. All requests and responses to/from the server are in Google Protocol Buffers format.

Creates a new ServerCommand object with specified address

Parameters: address – Must be in host:port format

build_curves(market_data)¶

Invokes the curve building service and returns the resulting yield curves

Parameters: market_data – MarketData instance that will be used to source curve definitions and market quotes (par rates)
Returns: A list of yield curves upon success

get_valuation(pricing_context, cfcollection)¶

Request Valuation for a set of cashflows

Parameters

pricing_context (valuation_pb2.PricingContext) – Pricing Context that defines various parameters
cfcollection (cashflow_pb2.CFCollection) – cashflow collection instance that contains the cashflows to be evaluated

Returns

The valuation service reply

hello(echo_string)¶

Invokes the hello service

Parameters: echo_string – An input string that will be echoed back by the server
Returns: An instance of HelloReply message

register_calendar(business_center_id, holidays_list)¶

Registers a calendar for specified business center id

Note that a calendar can only be registered at system start This is because calendars may be joined with other calendars and therefore once a calendar is in use it cannot be safely replaced

Parameters

business_center_id (enums_pb2.BusinessCenter) – Business Center id for which calendar is being registered
holidays_list – List containing redukti.Date objects

Returns

None

register_curve_definitions(market_data)¶

Registers curve definitions provided by the MarketData instance to the OpenRedukti Valuation service.

Parameters: market_data (MarketData) – MarketData instance that provides the curve definitions

register_curve_mappings(curve_group, curve_mappings)¶

Registers the list of curve mappings with the OpenRedukti valuation server

Parameters

curve_group – Curve group
curve_mappings – The list of curve mappings, each mapping must be of type valuation_pb2.CurveMapping.

Returns

None

register_fixings(market_data)¶

Registers fixings provided by the market data instance to the OpenRedukti Valuation service.

Parameters: market_data (MarketData) – MarketData instance that is the provider of fixings data
Returns: None

register_index_definition(index_definition)¶

Registers an index definition with the server

Parameters: index_definition (index_pb2.IndexDefinition) – An instance of index_pb2.IndexDefinition
Returns: None

register_market_data(market_data, forward_curves_list, discount_curve_list)¶

Registers a set of market data with the OpenRedukti Valuation service

Parameters

market_data (MarketData) – Instance of MarketData
forward_curves_list – List of curve ids that should be registered as forward curves
discount_curve_list – List of curve ids that should be registered as discount curves

Returns

None

register_zero_curves(market_data, forward_curves_list, discount_curve_list)¶

Registers zero rate curves provided by the MarketData instance to the OpenRedukti valuation service

Parameters

market_data (MarketData) – MarketData instance that provides the zero rate curves
forward_curves_list – The curve definition ids that will be registered as Forward Curves
discount_curve_list – The curve definition ids that will be registered as Discount Curves

Returns

None

reset_valuation_service()¶

Resets all cached market data held by the OpenRedukti valuation service

Returns: None
Raises: RuntimeError if there was a problem –

shutdown_valuation_service()¶

Shuts down the valuation service

Note that if you invoke this the valuation server will shutdown and will need to restarted

Returns: None

redukti.library.build_vanilla_swap(notional, effective_date, termination_date, template_name, fixed_rate, fixed_leg_sign)¶

Constructs cashflows for a Vanilla Interest Rate Swap with a fixed leg and a floating leg

Parameters

notional (float) – Notional amount
effective_date (redukti.Date) – The unadjusted effective date of the swap
termination_date (redukti.Date) – The unadjusted termination date of the swap
template_name (str) – The template to be used to determine various parameters
fixed_rate (float) – The fixed rate on the fixed leg
fixed_leg_sign (float) – The sign of the fixed leg, -1.0 indicates pay fixed rate

Returns

Returns an instance of cashflow_pb2.CFCollection

redukti.library.is_ois_index(index)¶

redukti.library.load_market_data(business_date, curve_definitions_filename, par_rates_filename, fixings_filename=None)¶

redukti.bootstrap_pb2 module¶

class redukti.bootstrap_pb2.BootstrapCurvesReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

curves¶: Field redukti.BootstrapCurvesReply.curves

header¶: Field redukti.BootstrapCurvesReply.header

par_sensitivities¶: Field redukti.BootstrapCurvesReply.par_sensitivities

class redukti.bootstrap_pb2.BootstrapCurvesRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

business_date¶: Field redukti.BootstrapCurvesRequest.business_date

curve_definitions¶: Field redukti.BootstrapCurvesRequest.curve_definitions

generate_par_sensitivities¶: Field redukti.BootstrapCurvesRequest.generate_par_sensitivities

max_solver_iterations¶: Field redukti.BootstrapCurvesRequest.max_solver_iterations

par_curve_set¶: Field redukti.BootstrapCurvesRequest.par_curve_set

solver_type¶: Field redukti.BootstrapCurvesRequest.solver_type

class redukti.bootstrap_pb2.ParCurve¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

curve_definition_id¶: Field redukti.ParCurve.curve_definition_id

instruments¶: Field redukti.ParCurve.instruments

par_rates¶: Field redukti.ParCurve.par_rates

class redukti.bootstrap_pb2.ParCurveSet¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

as_of_date¶: Field redukti.ParCurveSet.as_of_date

cycle¶: Field redukti.ParCurveSet.cycle

par_curves¶: Field redukti.ParCurveSet.par_curves

qualifier¶: Field redukti.ParCurveSet.qualifier

scenario¶: Field redukti.ParCurveSet.scenario

class redukti.bootstrap_pb2.ParInstrument¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

discount_curve_definition_id¶: Field redukti.ParInstrument.discount_curve_definition_id

floating_tenor¶: Field redukti.ParInstrument.floating_tenor

forward_curve_definition_id¶: Field redukti.ParInstrument.forward_curve_definition_id

instrument_key¶: Field redukti.ParInstrument.instrument_key

instrument_type¶: Field redukti.ParInstrument.instrument_type

class redukti.bootstrap_pb2.ParRates¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

instrument_ids¶: Field redukti.ParRates.instrument_ids

values¶: Field redukti.ParRates.values

redukti.calendar_pb2 module¶

class redukti.calendar_pb2.RegisterCalendarReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.RegisterCalendarReply.header

class redukti.calendar_pb2.RegisterCalendarRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

business_center¶: Field redukti.RegisterCalendarRequest.business_center

holidays¶: Field redukti.RegisterCalendarRequest.holidays

weekend_mask¶: Field redukti.RegisterCalendarRequest.weekend_mask

redukti.cashflow_pb2 module¶

class redukti.cashflow_pb2.CFCollection¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

streams¶: Field redukti.CFCollection.streams

class redukti.cashflow_pb2.CFFloating¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

compounding_method¶: Field redukti.CFFloating.compounding_method

currency¶: Field redukti.CFFloating.currency

day_count_fraction¶: Field redukti.CFFloating.day_count_fraction

discounting_index_family¶: Field redukti.CFFloating.discounting_index_family

ex_coupon_date¶: Field redukti.CFFloating.ex_coupon_date

floating_periods¶: Field redukti.CFFloating.floating_periods

payment_date¶: Field redukti.CFFloating.payment_date

class redukti.cashflow_pb2.CFFloatingPeriod¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

accrual_end_date¶: Field redukti.CFFloatingPeriod.accrual_end_date

accrual_start_date¶: Field redukti.CFFloatingPeriod.accrual_start_date

index¶: Field redukti.CFFloatingPeriod.index

index2¶: Field redukti.CFFloatingPeriod.index2

notional¶: Field redukti.CFFloatingPeriod.notional

spread¶: Field redukti.CFFloatingPeriod.spread

tenor¶: Field redukti.CFFloatingPeriod.tenor

tenor2¶: Field redukti.CFFloatingPeriod.tenor2

class redukti.cashflow_pb2.CFFra¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

currency¶: Field redukti.CFFra.currency

day_count_fraction¶: Field redukti.CFFra.day_count_fraction

fixed_rate¶: Field redukti.CFFra.fixed_rate

floating_period¶: Field redukti.CFFra.floating_period

payment_date¶: Field redukti.CFFra.payment_date

class redukti.cashflow_pb2.CFOis¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

accrual_end_date¶: Field redukti.CFOis.accrual_end_date

accrual_start_date¶: Field redukti.CFOis.accrual_start_date

day_count_fraction¶: Field redukti.CFOis.day_count_fraction

index¶: Field redukti.CFOis.index

notional¶: Field redukti.CFOis.notional

payment_date¶: Field redukti.CFOis.payment_date

class redukti.cashflow_pb2.CFSimple¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

amount¶: Field redukti.CFSimple.amount

currency¶: Field redukti.CFSimple.currency

discounting_index_family¶: Field redukti.CFSimple.discounting_index_family

ex_coupon_date¶: Field redukti.CFSimple.ex_coupon_date

payment_date¶: Field redukti.CFSimple.payment_date

trade_index¶: Field redukti.CFSimple.trade_index

class redukti.cashflow_pb2.CFSingle¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

floating¶: Field redukti.CFSingle.floating

fra¶: Field redukti.CFSingle.fra

ois¶: Field redukti.CFSingle.ois

simple¶: Field redukti.CFSingle.simple

class redukti.cashflow_pb2.CFStream¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

cashflows¶: Field redukti.CFStream.cashflows

factor¶: Field redukti.CFStream.factor

redukti.commands module¶

redukti.commands.do_bootstrap(server_command, args)¶

redukti.commands.run(args)¶

redukti.curve_pb2 module¶

class redukti.curve_pb2.IRCurveDefinition¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

currency¶: Field redukti.IRCurveDefinition.currency

curve_group¶: Field redukti.IRCurveDefinition.curve_group

curve_type¶: Field redukti.IRCurveDefinition.curve_type

id¶: Field redukti.IRCurveDefinition.id

index_family¶: Field redukti.IRCurveDefinition.index_family

interpolated_on¶: Field redukti.IRCurveDefinition.interpolated_on

interpolator_type¶: Field redukti.IRCurveDefinition.interpolator_type

maturity_generation_rule¶: Field redukti.IRCurveDefinition.maturity_generation_rule

tenor¶: Field redukti.IRCurveDefinition.tenor

tenors¶: Field redukti.IRCurveDefinition.tenors

class redukti.curve_pb2.ZeroCurve¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

curve_definition_id¶: Field redukti.ZeroCurve.curve_definition_id

maturities¶: Field redukti.ZeroCurve.maturities

values¶: Field redukti.ZeroCurve.values

class redukti.curve_pb2.ZeroCurveParSensitivities¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

class ValuesEntry¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

key¶: Field redukti.ZeroCurveParSensitivities.ValuesEntry.key

value¶: Field redukti.ZeroCurveParSensitivities.ValuesEntry.value

curve_definition_id¶: Field redukti.ZeroCurveParSensitivities.curve_definition_id

num_instruments¶: Field redukti.ZeroCurveParSensitivities.num_instruments

num_maturities¶: Field redukti.ZeroCurveParSensitivities.num_maturities

values¶: Field redukti.ZeroCurveParSensitivities.values

class redukti.curve_pb2.ZeroCurveSet¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

as_of_date¶: Field redukti.ZeroCurveSet.as_of_date

currency¶: Field redukti.ZeroCurveSet.currency

curve_group¶: Field redukti.ZeroCurveSet.curve_group

cycle¶: Field redukti.ZeroCurveSet.cycle

qualifier¶: Field redukti.ZeroCurveSet.qualifier

scenario¶: Field redukti.ZeroCurveSet.scenario

zero_curves¶: Field redukti.ZeroCurveSet.zero_curves

zero_par_sensitivities¶: Field redukti.ZeroCurveSet.zero_par_sensitivities

redukti.enums_pb2 module¶

redukti.index_pb2 module¶

class redukti.index_pb2.IndexDefinition¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

currency¶: Field redukti.IndexDefinition.currency

day_count_fraction¶: Field redukti.IndexDefinition.day_count_fraction

default_for_index_family¶: Field redukti.IndexDefinition.default_for_index_family

eom¶: Field redukti.IndexDefinition.eom

fixing_calendars¶: Field redukti.IndexDefinition.fixing_calendars

fixing_calendars_join_rule¶: Field redukti.IndexDefinition.fixing_calendars_join_rule

fixing_lag¶: Field redukti.IndexDefinition.fixing_lag

index_calendars¶: Field redukti.IndexDefinition.index_calendars

index_calendars_join_rule¶: Field redukti.IndexDefinition.index_calendars_join_rule

index_family¶: Field redukti.IndexDefinition.index_family

isda_index¶: Field redukti.IndexDefinition.isda_index

long_tenor_convention¶: Field redukti.IndexDefinition.long_tenor_convention

short_tenor_convention¶: Field redukti.IndexDefinition.short_tenor_convention

short_tenor_threshold¶: Field redukti.IndexDefinition.short_tenor_threshold

tenor¶: Field redukti.IndexDefinition.tenor

value_date_calendars¶: Field redukti.IndexDefinition.value_date_calendars

value_date_calendars_join_rule¶: Field redukti.IndexDefinition.value_date_calendars_join_rule

class redukti.index_pb2.RegisterIndexDefinitionReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.RegisterIndexDefinitionReply.header

class redukti.index_pb2.RegisterIndexDefinitionRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

index_definition¶: Field redukti.RegisterIndexDefinitionRequest.index_definition

redukti.instrument_templates_pb2 module¶

class redukti.instrument_templates_pb2.InstrumentTemplate¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

compounding_method1¶: Field redukti.InstrumentTemplate.compounding_method1

compounding_method2¶: Field redukti.InstrumentTemplate.compounding_method2

currency¶: Field redukti.InstrumentTemplate.currency

day_count_fraction1¶: Field redukti.InstrumentTemplate.day_count_fraction1

day_count_fraction2¶: Field redukti.InstrumentTemplate.day_count_fraction2

fixed_discounting_index_family¶: Field redukti.InstrumentTemplate.fixed_discounting_index_family

floating_index1¶: Field redukti.InstrumentTemplate.floating_index1

floating_index2¶: Field redukti.InstrumentTemplate.floating_index2

floating_tenor1¶: Field redukti.InstrumentTemplate.floating_tenor1

floating_tenor2¶: Field redukti.InstrumentTemplate.floating_tenor2

payment_calendars¶: Field redukti.InstrumentTemplate.payment_calendars

payment_day_convention¶: Field redukti.InstrumentTemplate.payment_day_convention

payment_frequency1¶: Field redukti.InstrumentTemplate.payment_frequency1

payment_frequency2¶: Field redukti.InstrumentTemplate.payment_frequency2

product_sub_type¶: Field redukti.InstrumentTemplate.product_sub_type

reset_frequency_if_compounding1¶: Field redukti.InstrumentTemplate.reset_frequency_if_compounding1

reset_frequency_if_compounding2¶: Field redukti.InstrumentTemplate.reset_frequency_if_compounding2

redukti.schedule_pb2 module¶

class redukti.schedule_pb2.Schedule¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

adjusted_end_dates¶: Field redukti.Schedule.adjusted_end_dates

adjusted_payment_dates¶: Field redukti.Schedule.adjusted_payment_dates

adjusted_start_dates¶: Field redukti.Schedule.adjusted_start_dates

ex_coupon_date_offsets¶: Field redukti.Schedule.ex_coupon_date_offsets

has_back_stub¶: Field redukti.Schedule.has_back_stub

has_front_stub¶: Field redukti.Schedule.has_front_stub

class redukti.schedule_pb2.ScheduleParameters¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

calculation_frequency¶: Field redukti.ScheduleParameters.calculation_frequency

effective_date¶: Field redukti.ScheduleParameters.effective_date

ex_coupon_calendars¶: Field redukti.ScheduleParameters.ex_coupon_calendars

ex_coupon_convention¶: Field redukti.ScheduleParameters.ex_coupon_convention

ex_coupon_lag¶: Field redukti.ScheduleParameters.ex_coupon_lag

first_payment_date¶: Field redukti.ScheduleParameters.first_payment_date

first_regular_period_start_date¶: Field redukti.ScheduleParameters.first_regular_period_start_date

last_regular_payment_date¶: Field redukti.ScheduleParameters.last_regular_payment_date

last_regular_period_end_date¶: Field redukti.ScheduleParameters.last_regular_period_end_date

payment_calendars¶: Field redukti.ScheduleParameters.payment_calendars

payment_convention¶: Field redukti.ScheduleParameters.payment_convention

payment_frequency¶: Field redukti.ScheduleParameters.payment_frequency

payment_lag¶: Field redukti.ScheduleParameters.payment_lag

period_calendars¶: Field redukti.ScheduleParameters.period_calendars

period_convention¶: Field redukti.ScheduleParameters.period_convention

roll_convention¶: Field redukti.ScheduleParameters.roll_convention

stub_location¶: Field redukti.ScheduleParameters.stub_location

term¶: Field redukti.ScheduleParameters.term

termination_date¶: Field redukti.ScheduleParameters.termination_date

redukti.services_pb2 module¶

class redukti.services_pb2.HelloReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

message¶: Field redukti.HelloReply.message

class redukti.services_pb2.HelloRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

delay_for¶: Field redukti.HelloRequest.delay_for

immediate¶: Field redukti.HelloRequest.immediate

name¶: Field redukti.HelloRequest.name

class redukti.services_pb2.Request¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

bootstrap_curves_request¶: Field redukti.Request.bootstrap_curves_request

curve_interpolation_request¶: Field redukti.Request.curve_interpolation_request

header¶: Field redukti.Request.header

hello_request¶: Field redukti.Request.hello_request

register_calendar_request¶: Field redukti.Request.register_calendar_request

register_curve_definitions_request¶: Field redukti.Request.register_curve_definitions_request

register_index_definition_request¶: Field redukti.Request.register_index_definition_request

reset_valuation_service_request¶: Field redukti.Request.reset_valuation_service_request

set_curve_mappings_request¶: Field redukti.Request.set_curve_mappings_request

set_fixings_request¶: Field redukti.Request.set_fixings_request

set_zero_curves_request¶: Field redukti.Request.set_zero_curves_request

shutdown_request¶: Field redukti.Request.shutdown_request

valuation_request¶: Field redukti.Request.valuation_request

class redukti.services_pb2.RequestHeader¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

page_size¶: Field redukti.RequestHeader.page_size

request_time¶: Field redukti.RequestHeader.request_time

requested_page_number¶: Field redukti.RequestHeader.requested_page_number

user_id¶: Field redukti.RequestHeader.user_id

user_role¶: Field redukti.RequestHeader.user_role

class redukti.services_pb2.Response¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

bootstrap_curves_reply¶: Field redukti.Response.bootstrap_curves_reply

curve_interpolation_reply¶: Field redukti.Response.curve_interpolation_reply

header¶: Field redukti.Response.header

hello_reply¶: Field redukti.Response.hello_reply

register_calendar_reply¶: Field redukti.Response.register_calendar_reply

register_curve_definitions_reply¶: Field redukti.Response.register_curve_definitions_reply

register_index_definition_reply¶: Field redukti.Response.register_index_definition_reply

reset_valuation_service_reply¶: Field redukti.Response.reset_valuation_service_reply

set_curve_mappings_reply¶: Field redukti.Response.set_curve_mappings_reply

set_fixings_reply¶: Field redukti.Response.set_fixings_reply

set_zero_curves_reply¶: Field redukti.Response.set_zero_curves_reply

shutdown_reply¶: Field redukti.Response.shutdown_reply

valuation_reply¶: Field redukti.Response.valuation_reply

class redukti.services_pb2.ResponseHeader¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

available_pages¶: Field redukti.ResponseHeader.available_pages

elapsed_time¶: Field redukti.ResponseHeader.elapsed_time

page_number¶: Field redukti.ResponseHeader.page_number

page_size¶: Field redukti.ResponseHeader.page_size

response_code¶: Field redukti.ResponseHeader.response_code

response_message¶: Field redukti.ResponseHeader.response_message

response_sub_code¶: Field redukti.ResponseHeader.response_sub_code

class redukti.services_pb2.ShutdownReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

class redukti.services_pb2.ShutdownRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

password¶: Field redukti.ShutdownRequest.password

redukti.services_pb2_grpc module¶

class redukti.services_pb2_grpc.OpenReduktiServicesServicer¶

Bases: object

serve(request, context)¶

class redukti.services_pb2_grpc.OpenReduktiServicesStub(channel)¶

Bases: object

Constructor.

Parameters: channel – A grpc.Channel.

redukti.services_pb2_grpc.add_OpenReduktiServicesServicer_to_server(servicer, server)¶

redukti.shared_pb2 module¶

class redukti.shared_pb2.ReplyHeader¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

response_code¶: Field redukti.ReplyHeader.response_code

response_message¶: Field redukti.ReplyHeader.response_message

response_sub_code¶: Field redukti.ReplyHeader.response_sub_code

redukti.valuation_pb2 module¶

class redukti.valuation_pb2.CurveInterpolationReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.CurveInterpolationReply.header

values¶: Field redukti.CurveInterpolationReply.values

class redukti.valuation_pb2.CurveInterpolationRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

business_date¶: Field redukti.CurveInterpolationRequest.business_date

curve¶: Field redukti.CurveInterpolationRequest.curve

dates¶: Field redukti.CurveInterpolationRequest.dates

definition¶: Field redukti.CurveInterpolationRequest.definition

forward_tenor¶: Field redukti.CurveInterpolationRequest.forward_tenor

rate_type¶: Field redukti.CurveInterpolationRequest.rate_type

class redukti.valuation_pb2.CurveMapping¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

from_id¶: Field redukti.CurveMapping.from_id

to_id¶: Field redukti.CurveMapping.to_id

class redukti.valuation_pb2.FixingsByIndexTenor¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

class FixingsEntry¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

key¶: Field redukti.FixingsByIndexTenor.FixingsEntry.key

value¶: Field redukti.FixingsByIndexTenor.FixingsEntry.value

fixings¶: Field redukti.FixingsByIndexTenor.fixings

index¶: Field redukti.FixingsByIndexTenor.index

tenor¶: Field redukti.FixingsByIndexTenor.tenor

class redukti.valuation_pb2.IRCurveSensitivities¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

class ValuesEntry¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

key¶: Field redukti.IRCurveSensitivities.ValuesEntry.key

value¶: Field redukti.IRCurveSensitivities.ValuesEntry.value

curve_definition_id_1¶: Field redukti.IRCurveSensitivities.curve_definition_id_1

curve_definition_id_2¶: Field redukti.IRCurveSensitivities.curve_definition_id_2

order¶: Field redukti.IRCurveSensitivities.order

risk_type_1¶: Field redukti.IRCurveSensitivities.risk_type_1

risk_type_2¶: Field redukti.IRCurveSensitivities.risk_type_2

sensitivity_type¶: Field redukti.IRCurveSensitivities.sensitivity_type

values¶: Field redukti.IRCurveSensitivities.values

class redukti.valuation_pb2.PricingContext¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

as_of_date¶: Field redukti.PricingContext.as_of_date

curve_group¶: Field redukti.PricingContext.curve_group

cycle¶: Field redukti.PricingContext.cycle

derivative_order¶: Field redukti.PricingContext.derivative_order

from_scenario¶: Field redukti.PricingContext.from_scenario

is_todays_fixings_included¶: Field redukti.PricingContext.is_todays_fixings_included

payment_cutoff_date¶: Field redukti.PricingContext.payment_cutoff_date

qualifier¶: Field redukti.PricingContext.qualifier

to_scenario¶: Field redukti.PricingContext.to_scenario

class redukti.valuation_pb2.PricingCurveIdentifier¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

currency¶: Field redukti.PricingCurveIdentifier.currency

index_family¶: Field redukti.PricingCurveIdentifier.index_family

tenor¶: Field redukti.PricingCurveIdentifier.tenor

type¶: Field redukti.PricingCurveIdentifier.type

class redukti.valuation_pb2.RegisterCurveDefinitionsReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.RegisterCurveDefinitionsReply.header

class redukti.valuation_pb2.RegisterCurveDefinitionsRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

curve_definitions¶: Field redukti.RegisterCurveDefinitionsRequest.curve_definitions

class redukti.valuation_pb2.ResetValuationServiceReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.ResetValuationServiceReply.header

class redukti.valuation_pb2.ResetValuationServiceRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

class redukti.valuation_pb2.SetCurveMappingsReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.SetCurveMappingsReply.header

class redukti.valuation_pb2.SetCurveMappingsRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

curve_group¶: Field redukti.SetCurveMappingsRequest.curve_group

mappings¶: Field redukti.SetCurveMappingsRequest.mappings

class redukti.valuation_pb2.SetFixingsReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.SetFixingsReply.header

class redukti.valuation_pb2.SetFixingsRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

fixings_by_index_tenor¶: Field redukti.SetFixingsRequest.fixings_by_index_tenor

class redukti.valuation_pb2.SetZeroCurvesReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.SetZeroCurvesReply.header

class redukti.valuation_pb2.SetZeroCurvesRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

as_of_date¶: Field redukti.SetZeroCurvesRequest.as_of_date

curve_group¶: Field redukti.SetZeroCurvesRequest.curve_group

cycle¶: Field redukti.SetZeroCurvesRequest.cycle

discount_curves¶: Field redukti.SetZeroCurvesRequest.discount_curves

forward_curves¶: Field redukti.SetZeroCurvesRequest.forward_curves

par_sensitivities¶: Field redukti.SetZeroCurvesRequest.par_sensitivities

qualifier¶: Field redukti.SetZeroCurvesRequest.qualifier

scenario¶: Field redukti.SetZeroCurvesRequest.scenario

class redukti.valuation_pb2.ValuationReply¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

header¶: Field redukti.ValuationReply.header

result¶: Field redukti.ValuationReply.result

class redukti.valuation_pb2.ValuationRequest¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

cashflows¶: Field redukti.ValuationRequest.cashflows

pricing_context¶: Field redukti.ValuationRequest.pricing_context

class redukti.valuation_pb2.ValuationResult¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

class ValuationsEntry¶

Bases: google.protobuf.pyext._message.CMessage, google.protobuf.message.Message

DESCRIPTOR = <google.protobuf.pyext._message.MessageDescriptor object>¶

key¶: Field redukti.ValuationResult.ValuationsEntry.key

value¶: Field redukti.ValuationResult.ValuationsEntry.value

sensitivities¶: Field redukti.ValuationResult.sensitivities

valuations¶: Field redukti.ValuationResult.valuations

Python Library for OpenRedukti - API Reference¶

redukti module¶

redukti.library module¶

redukti.bootstrap_pb2 module¶

redukti.calendar_pb2 module¶

redukti.cashflow_pb2 module¶

redukti.commands module¶

redukti.curve_pb2 module¶

redukti.enums_pb2 module¶

redukti.index_pb2 module¶

redukti.instrument_templates_pb2 module¶

redukti.schedule_pb2 module¶

redukti.services_pb2 module¶

redukti.services_pb2_grpc module¶

redukti.shared_pb2 module¶

redukti.valuation_pb2 module¶

Module contents¶

OpenRedukti

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