Module products

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One constructor per product family — the binding’s spelling of the core’s own constructors.

Conventions come from the shared registry by template code or family name and are restated nowhere here. Options that are builder methods on the Rust product are keyword arguments whose default applies no builder, so the binding cannot hold a default the core does not have. Every function returns the one Instrument handle; Instrument.product() names the family for anyone who needs to dispatch.

Structs§

NoInflationCurve 🔒: The curve a linker reading gets where none is pinned: every query refuses, so only a month without a published print ever reaches it.
PyAnbimaQuote 🔒: An ANBIMA quotation: its discounted parcels, the cotação and the unit price, each at the truncation the market publishes.
PyBondFitRow 🔒: One bond’s place in a fit: its maturity, market and model clean prices, and the misfit as a street yield.
PyBondFuture: A bond future: the delivery date and the basket it forwards to, each entry already resolved to the bond it delivers.
PyBondFutureAnalysis: The basket analysis: one row per deliverable, the cheapest to deliver, and the theoretical futures price off its forward.
PyBondFutureOptionDiagnostics: What a bond future option is priced from, per 100 — what a trader reconciles against an exchange or vendor screen.
PyBondOptionDiagnostics: What a bond option resolved to when it was priced: the forward dirty price, its yield and duration, the yield vol and the price vol it became, the accrued and the dirty strike, the expiry.
PyCdsDiagnostics: Each part of a credit default swap’s value, signed as it enters that value, and the risky annuity behind its quote.
PyCreditLinkedSwapDiagnostics: What a credit default swap resolved to when it was priced: each part of its value, signed as it enters that value, and the risky annuity behind its quote.
PyDeliverableAnalysis: One deliverable’s analytics at a quoted futures price.
PyFxOptionDiagnostics: What an FX option resolved to when it was priced: the forward, the absolute strike, the surface vol at it, the signed delta, the expiry.
PyGapCharge 🔒: A repack note’s gap charge and its rows.
PyHullWhite 🔒: A validated one-factor Hull-White model: mean reversion a and a volatility — flat, or a piecewise-constant term — the value a calibration writes and a caller pins.
PyHullWhiteLattice 🔒: The Hull-White trinomial lattice, built and curve-fitted on construction.
PyIndexSettlement: What a credit event settles on an index position, each amount signed to the holder: the protection on the defaulted weight, and the premium accrued on it over the running period.
PyIndexSkew: The skew adjustment of an index’s constituents: one term structure of hazard multipliers every constituent’s curve is scaled by.
PyProductBuilder: A swap draft: a template’s swap with every term defaulted — effective at the template’s spot from the trade date, ten years long, 10,000,000, receiving fixed — and no fixed rate until one is stated or struck at par.
PySimulatedGap 🔒: A repack note’s simulated gap: the charge, its standard error, its legs and its profile.
PyTemplate: A resolved convention template, and the code it resolved from.
PyTrancheSettlement: What a credit event settles on a tranche position, and where it leaves the tranche: the loss it absorbs and the premium accrued on the notional removed, signed to the holder; the recovered amount written off its top; its attachment and detachment on the surviving pool.
PyValuationTrigger 🔒: A repack note’s valuation trigger: terminate when the collateral’s market value falls below level of notional on a monitoring date, selling it liquidation_lag_days later.
RepoDraft 🔒: What a repo draft states beyond its template and far date.
TrancheMarkArg 🔒: A tranche model input as a Python caller names it: a number, the contract’s, or "Market", the market’s mark for the tranche’s index — Rust’s TrancheMark, the spelling parsed in the core.
UnitPayoff 🔒: A unit payment at one grid step — the smallest asset that shows the fit.

Enums§

BondArg 🔒: A bond-linked product’s bond: the FixedRateBond itself, or an instrument already wrapping one.
PyAccrualOnDefault 🔒: How premium accrued since the last coupon settles on default: Proportional (the ISDA standard model’s), Halfway, or NoAccrual (code none).
PyAssetSwapKind 🔒: How an asset swap is packaged: ParPar or Proceeds.
PyBarrierKind 🔒: Where a single barrier sits and what touching it does.
PyBondOptionEngine 🔒: Which model prices a bond option: the bond’s YieldVol, or HullWhite.
PyBondStrikeKind 🔒: What a bond option’s strike is stated as: a Clean or Dirty price, or a Yield.
PyCallEntry 🔒: One callable_bond schedule entry: (date, price, kind), the price clean, or (date, price, kind, basis) with basis the price basis.
PyCallKind 🔒: Whose option a callability is: the issuer’s Call or the holder’s Put.
PyCapFloorKind 🔒: A Cap or a Floor.
PyCdsOptionStyle 🔒: What a default before a CDS option’s expiry does to it: SingleName knocks out, FrontEndProtection settles it as the payer’s protection, Index is an index option with its exercise price.
PyCdsStrikeType 🔒: How a CDS option’s strike is quoted: a Spread, or a Price per unit notional the holder enters the index at.
PyCmeMaturityRounding 🔒: How a CME contract group rounds a deliverable’s maturity: to the Month (the 2-, 3- and 5-year contracts) or the Quarter (the 10-year and bond contracts).
PyConstituentInput 🔒: One constituent of a basket as Python spells it: the triple, or the triple with the bond’s own repo key.
PyDefaultPaymentTime 🔒: When a credit-linked swap’s default-contingent payment is made: AtDefault (the interval’s midpoint), AtPeriodEnd (the first scheduled payment date on or after the default) or AtMaturity.
PyExDivDayType 🔒: The days an ex-dividend lag counts: Business days on the bond’s settlement calendar (UK gilts) or Calendar days (South African government bonds).
PyExerciseStyle 🔒: When an option on a future may be exercised: European or American.
PyLegRole 🔒: How a credit-linked swap’s leg depends on the reference entity’s default: Independent (paid whatever happens), Contingent (paid while the entity survives), Default (paid on default, scaled by the loss) or Recovery (paid on default, scaled by the recovery).
PyOptionKind 🔒: An option’s right: a Call or a Put.
PyPremiumStyle 🔒: How an option on a future settles its premium: FuturesStyle (margined daily, Eurex and ICE) or Paid up front (CBOT).
PyPriceBasis 🔒: Whether a bond price includes accrued interest (Dirty) or not (Clean).
PyRepackEngine 🔒: How a repack note’s gap is priced: Independent of rates, or Correlated through the issuer’s Gaussian intensity.
PyRepackRole 🔒: Who holds a booked repack note: the bank’s swap facing the SPV (SwapCounterparty), or the notes per unit notional (Noteholder).
PySettlementIndex 🔒: The settlement index of a non-deliverable forward or option as Python spells it: an FX key as a string, an Index value, which settles under the name its fixings are published under, or a (reference_key, settlement_key) tuple for a cross of two keys through USD.
PySigmaInput 🔒: A Hull-White volatility as Python states it: one float, or (t_end, σ) pieces with interval ends in years, the last piece extending flat.
PySigmaShape 🔒: The shape a Hull-White volatility is calibrated in: Flat by least squares, or Piecewise, one piece per strip expiry.
PyStripScheme 🔒: How caplet vols are stripped from cap quotes: ConstantBetweenQuotes, or one vol PerCaplet.
PySwaptionEngine 🔒: Which model prices a swaption: the market’s vol Surface, or HullWhite.
PySwaptionKind 🔒: Whether a swaption’s holder pays (Payer) or receives (Receiver) the fixed leg on exercise.
PySwaptionSettlement 🔒: How a swaption settles on exercise: into the swap (Physical) or for its value (Cash).
PyTermination 🔒: A swap’s end as Python spells it: a termination date, or a forward tenor such as "5Y" or "2Y2Y" that dates the swap from the template’s spot on the valuation date given in the first argument.

Functions§

__pyfunction_accreted_face 🔒 ^⚠
__pyfunction_accreted_redemption 🔒 ^⚠
__pyfunction_after_credit_event 🔒 ^⚠
__pyfunction_anbima_nominal_value 🔒 ^⚠
__pyfunction_anbima_price 🔒 ^⚠
__pyfunction_anbima_yield_from_price 🔒 ^⚠
__pyfunction_asset_swap 🔒 ^⚠
__pyfunction_atm_delta_neutral_strike 🔒 ^⚠
__pyfunction_australian_coupon_factor 🔒 ^⚠
__pyfunction_australian_indexation_factor 🔒 ^⚠
__pyfunction_australian_price_from_real_yield 🔒 ^⚠
__pyfunction_australian_real_yield_from_price 🔒 ^⚠
__pyfunction_bachelier 🔒 ^⚠
__pyfunction_basket_survival_probability 🔒 ^⚠
__pyfunction_basket_total_return_swap 🔒 ^⚠
__pyfunction_bermudan_swaption 🔒 ^⚠
__pyfunction_black76 🔒 ^⚠
__pyfunction_black76_implied_vol 🔒 ^⚠
__pyfunction_bond_forward 🔒 ^⚠
__pyfunction_bond_future 🔒 ^⚠
__pyfunction_bond_future_analysis 🔒 ^⚠
__pyfunction_bond_future_option 🔒 ^⚠
__pyfunction_bond_future_option_from_template 🔒 ^⚠
__pyfunction_bond_future_position 🔒 ^⚠
__pyfunction_bond_option 🔒 ^⚠
__pyfunction_bond_spread_over_curve 🔒 ^⚠
__pyfunction_bond_total_return_swap 🔒 ^⚠
__pyfunction_bond_z_spread 🔒 ^⚠
__pyfunction_calibrate_and_pin 🔒 ^⚠
__pyfunction_calibrate_hull_white 🔒 ^⚠
__pyfunction_calibrate_hull_white_to_strip 🔒 ^⚠
__pyfunction_callable_bond 🔒 ^⚠
__pyfunction_callable_loan 🔒 ^⚠
__pyfunction_callable_oas 🔒 ^⚠
__pyfunction_callable_swap 🔒 ^⚠
__pyfunction_capitalisations 🔒 ^⚠
__pyfunction_cdo_tranche 🔒 ^⚠
__pyfunction_cds_option 🔒 ^⚠
__pyfunction_clean_price_at_oas 🔒 ^⚠
__pyfunction_cme_conversion_factor 🔒 ^⚠
__pyfunction_cms_coupon_rate 🔒 ^⚠
__pyfunction_cms_option 🔒 ^⚠
__pyfunction_cms_rate 🔒 ^⚠
__pyfunction_cms_spread_coupon_rate 🔒 ^⚠
__pyfunction_cms_spread_option 🔒 ^⚠
__pyfunction_cms_swap 🔒 ^⚠
__pyfunction_compounded_oas 🔒 ^⚠
__pyfunction_coupon_bond_option 🔒 ^⚠
__pyfunction_credit_default_swap 🔒 ^⚠
__pyfunction_credit_default_swap_option 🔒 ^⚠
__pyfunction_credit_linked_note 🔒 ^⚠
__pyfunction_credit_linked_swap 🔒 ^⚠
__pyfunction_cross_currency_rungs 🔒 ^⚠
__pyfunction_cross_currency_template 🔒 ^⚠
__pyfunction_curve_pin 🔒 ^⚠
__pyfunction_curve_yield_at 🔒 ^⚠
__pyfunction_deposit 🔒 ^⚠
__pyfunction_discount_bond_affine 🔒 ^⚠
__pyfunction_discount_margin 🔒 ^⚠
__pyfunction_effective_risk 🔒 ^⚠
__pyfunction_equity_basket_total_return_swap 🔒 ^⚠
__pyfunction_equity_option 🔒 ^⚠
__pyfunction_equity_total_return_swap 🔒 ^⚠
__pyfunction_eurex_btp_conversion_factor 🔒 ^⚠
__pyfunction_eurex_chf_conversion_factor 🔒 ^⚠
__pyfunction_eurex_conversion_factor 🔒 ^⚠
__pyfunction_european_swaption 🔒 ^⚠
__pyfunction_expected_tranche_loss 🔒 ^⚠
__pyfunction_fair_forward_rate 🔒 ^⚠
__pyfunction_fair_margin 🔒 ^⚠
__pyfunction_fee 🔒 ^⚠
__pyfunction_fit_bond_curve 🔒 ^⚠
__pyfunction_fixed_rate_bond 🔒 ^⚠
__pyfunction_floating_rate_note 🔒 ^⚠
__pyfunction_forward_price 🔒 ^⚠
__pyfunction_fra 🔒 ^⚠
__pyfunction_fra_settlement 🔒 ^⚠
__pyfunction_future 🔒 ^⚠
__pyfunction_futures_convexity 🔒 ^⚠
__pyfunction_futures_price 🔒 ^⚠
__pyfunction_fx_delta 🔒 ^⚠
__pyfunction_fx_forward 🔒 ^⚠
__pyfunction_fx_option 🔒 ^⚠
__pyfunction_fx_swap 🔒 ^⚠
__pyfunction_fx_swap_helper 🔒 ^⚠
__pyfunction_hull_white_convexity_bias 🔒 ^⚠
__pyfunction_ice_gilt_conversion_factor 🔒 ^⚠
__pyfunction_index_credit_default_swap 🔒 ^⚠
__pyfunction_index_intrinsic 🔒 ^⚠
__pyfunction_index_ratio 🔒 ^⚠
__pyfunction_index_skew 🔒 ^⚠
__pyfunction_inflation_linked_bond 🔒 ^⚠
__pyfunction_instantaneous_forward 🔒 ^⚠
__pyfunction_interest_rate_cap_floor 🔒 ^⚠
__pyfunction_inv_norm_cdf 🔒 ^⚠
__pyfunction_linker_invoice 🔒 ^⚠
__pyfunction_linker_real_price 🔒 ^⚠
__pyfunction_linker_real_yield 🔒 ^⚠
__pyfunction_loan 🔒 ^⚠
__pyfunction_meeting 🔒 ^⚠
__pyfunction_meeting_ois 🔒 ^⚠
__pyfunction_norm_cdf 🔒 ^⚠
__pyfunction_note_components 🔒 ^⚠
__pyfunction_note_dirty_price 🔒 ^⚠
__pyfunction_note_z_spread 🔒 ^⚠
__pyfunction_nth_to_default_swap 🔒 ^⚠
__pyfunction_on_the_run 🔒 ^⚠
__pyfunction_package_value 🔒 ^⚠
__pyfunction_par_rungs 🔒 ^⚠
__pyfunction_payer_swaption 🔒 ^⚠
__pyfunction_payment_in_kind_bond 🔒 ^⚠
__pyfunction_premium_contract 🔒 ^⚠
__pyfunction_pv_weighted_time 🔒 ^⚠
__pyfunction_receiver_swaption 🔒 ^⚠
__pyfunction_reference_index 🔒 ^⚠
__pyfunction_repack_gap 🔒 ^⚠
__pyfunction_repack_note 🔒 ^⚠
__pyfunction_repo_margin 🔒 ^⚠
__pyfunction_risky_value 🔒 ^⚠
__pyfunction_series_maturity 🔒 ^⚠
__pyfunction_series_roll 🔒 ^⚠
__pyfunction_settlement_date 🔒 ^⚠
__pyfunction_sigma_from_price 🔒 ^⚠
__pyfunction_simple_margin 🔒 ^⚠
__pyfunction_simulate_repack_gap 🔒 ^⚠
__pyfunction_simulate_repack_gap_risk 🔒 ^⚠
__pyfunction_spread_duration 🔒 ^⚠
__pyfunction_straddle 🔒 ^⚠
__pyfunction_street_index_ratio 🔒 ^⚠
__pyfunction_strike_from_delta 🔒 ^⚠
__pyfunction_strip_caplet_smile 🔒 ^⚠
__pyfunction_strip_caplet_vols 🔒 ^⚠
__pyfunction_strip_from_callable 🔒 ^⚠
__pyfunction_structured_note 🔒 ^⚠
__pyfunction_swap 🔒 ^⚠
__pyfunction_swap_conventions 🔒 ^⚠
__pyfunction_swap_from_legs 🔒 ^⚠
__pyfunction_swap_template 🔒 ^⚠
__pyfunction_template_by_code 🔒 ^⚠
__pyfunction_templates 🔒 ^⚠
__pyfunction_tenor_basis 🔒 ^⚠
__pyfunction_turn 🔒 ^⚠
__pyfunction_uk_money_accrued 🔒 ^⚠
__pyfunction_uk_money_price 🔒 ^⚠
__pyfunction_uk_money_yield 🔒 ^⚠
__pyfunction_uk_real_yield_from_money 🔒 ^⚠
__pyfunction_uk_real_yield_from_money_dirty 🔒 ^⚠
__pyfunction_weekly_bond_future_option_from_template 🔒 ^⚠
__pyfunction_xccy_basis 🔒 ^⚠
__pyfunction_yield_convention_status 🔒 ^⚠
__pyfunction_yield_to_call 🔒 ^⚠
__pyfunction_yield_to_maturity_scenario 🔒 ^⚠
__pyfunction_yield_to_worst 🔒 ^⚠
__pyfunction_yoy_inflation_cap_floor 🔒 ^⚠
__pyfunction_yoy_inflation_swap 🔒 ^⚠
__pyfunction_zero_bond_option 🔒 ^⚠
__pyfunction_zero_coupon_bond 🔒 ^⚠
__pyfunction_zero_coupon_inflation_cap_floor 🔒 ^⚠
__pyfunction_zero_coupon_inflation_swap 🔒 ^⚠
__pyfunction_zero_coupon_quotes 🔒 ^⚠
accreted_face 🔒: A payment-in-kind bond’s accreted face on date: its par face grown by every capitalisation on or before it.
accreted_redemption 🔒: A payment-in-kind bond’s one cash flow per 100 of par face: its redemption, accreted to maturity.
after_credit_event 🔒: An index CDS or a CDO tranche after a credit event on one of its names, and what the event settles: the index re-versioned — the factor reduced by weight, the version incremented — with an IndexSettlement; the tranche eroded from the bottom by the loss and written down from the top by the recovery, on the surviving pool, with a TrancheSettlement.
american_exercise 🔒: "bermudan" (on the dates alone) or "american" (from each date to the next).
anbima_nominal_value 🔒: The ANBIMA VNA at date.
anbima_price 🔒: The ANBIMA quotation at a real yield tir (per annum, decimal), discounting on BUS/252 over calendar with the published truncation chain.
anbima_vna_or 🔒: The VNA a caller passed, or the curve-based one at settlement.
anbima_yield_from_price 🔒: The real yield implied by an ANBIMA unit price, by bisection over the exact truncation chain. The chain makes the price a step function of the yield, so the solve lands on the step containing the quote.
arm 🔒: The product arm name works on, or a ValueError naming what was given.
asset_swap 🔒: An asset swap: a bond bought at dirty_price, settling on start, against a floating leg on index every float_frequency, under the "par_par" or "proceeds" convention. With fx_rate, a bond in another currency than the index’s: the cross-currency package at that rate, index units per bond unit, under either convention.
atm_delta_neutral_strike 🔒: The delta-neutral at-the-money strike under convention.
australian_coupon_factor 🔒: The AOFM p for the payment at next_coupon: half the percentage CPI movement over the two quarters ending two quarters before that payment’s quarter, rounded to two places.
australian_indexation_factor 🔒: The Australian Kt indexation factor at date, in ratio form.
australian_kt_or 🔒: The Kt a caller passed, or the curve-based one at settlement.
australian_price_from_real_yield 🔒: The AOFM price per 100 face at a quarterly-compounded real yield.
australian_real_yield_from_price 🔒: The quarterly-compounded real yield implied by an AOFM price. As with the ANBIMA quote, the published rounding makes the price a step function of the yield, so the solve lands on the step containing the quote.
bachelier 🔒: The Bachelier (normal) forward price, undiscounted; defined for negative forwards and strikes.
basis_on 🔒: The tenor-basis body both paths forward to.
basket_survival_probability 🔒: P(fewer than n defaults) for a finite basket under the one-factor Gaussian copula, or the double-t with factor_dof and idiosyncratic_dof (both or neither), from each constituent’s own default probability pds and the asset correlation rho.
basket_total_return_swap 🔒: A total return swap on a basket of bonds, replicated from its constituents: (bond, weight, initial_price) triples, the weight a face multiplier on notional and the price the contractual start per 100 face. A constituent is (bond, weight, initial_price), or (bond, weight, initial_price, repo_key) to carry that bond on its own repo curve (the market not holding that curve carries it on the package’s), or (bond, weight, initial_price, repo_key_or_None, issuer) to make its return contingent on issuer’s credit. Otherwise as bond_total_return_swap.
bermudan_swaption 🔒: A Bermudan swaption on underlying, exercisable on each of exercise_dates — priced on the Hull–White lattice, so its market needs the model pinned.
black76 🔒: The Black-76 forward-lognormal price, undiscounted: kind is call or put. A forward that isn’t positive, or a negative strike, is refused; a zero strike prices the call at the forward and the put at zero.
black76_implied_vol 🔒: The Black-76 volatility implying price, or None where no volatility does — a reading off a price, not a valuation.
bond_forward 🔒: A forward on notional of bond at a clean strike (dirty when dirty_strike), financed on the repo curve under repo_key.
bond_future 🔒: A bond future delivering basket on delivery, each entry a (bond, conversion_factor, key) triple.
bond_future_analysis 🔒: The basket of future on market, at a quoted futures_price per 100.
bond_future_option 🔒: An option on the listed bond future contract ("CBOT-ZN-2027-03"), expiring on expiry, struck at strike per 100, priced off the market’s quoted price for the contract (MarketContext.with_future_price) and its option vol surface (MarketContext.with_future_option_vols).
bond_future_option_from_template 🔒: The option of year-month under the futures option template code ("CBOT-OZN", "EUREX-OGBL", "ICE-R-OPT"): its expiry by the exchange’s rule on the template’s calendar, its underlying the quarterly future the month exercises into, and the venue’s premium style, exercise style, currency and point value. An expiry the rule lands on a holiday for is refused — build it with bond_future_option and state the expiry.
bond_future_position 🔒: A position in future: contracts contracts, each delivering contract_size of face, struck at traded_price per 100.
bond_option 🔒: An option on a fixed-rate bond, struck on its "clean" or "dirty" price or its "yield", priced under the "yield_vol" or "hull_white" engine. A price strike is per 100 of the face alive at exercise settlement, so an amortising bond is struck on its outstanding face. yield_vol names the bond yield vol surface the option reads; omitted, the bond’s currency’s.
bond_option_on 🔒: bond_option on a bond already held as an instrument.
bond_spread_over_curve 🔒: The bond’s yield over a reference curve’s zero rate at its maturity, both on the named basis.
bond_total_return_swap 🔒: A total return swap on notional of bond from initial_price — a clean price per 100 — resetting on reset_schedule, funded on the repo curve under repo_key. The funding leg accrues on funding_notional, or notional·initial_price/100 without one; funding_rate fixes it at a rate, in place of a margin, a gearing and an index.
bond_z_spread 🔒: The z-spread at which the bond’s dirty price is dirty_price.
calibrate_and_pin 🔒: The fit, and the market with its σ and mean reversion pinned — ready to price the callable it was fitted to.
calibrate_hull_white 🔒: Fits Hull–White’s volatility to the ATM normal vols market quotes on the strip instrument implies, holding mean_reversion fixed — flat by least squares, or shape="piecewise" for one piece per strip expiry.
calibrate_hull_white_to_strip 🔒: Fits Hull–White’s volatility to the ATM normal vols market quotes on an explicit strip of (expiry, end) pairs, holding mean_reversion fixed — the input calibration.hull_white derives from a callable, supplied directly. collateral names the discounting currency; currency’s own when None.
call_entries 🔒: Each (date, price, kind[, basis]) entry as its callability, clean by default.
callable_bond 🔒: A bond with a call/put schedule of (date, price, "call" | "put"), the price clean, or (date, price, kind, "clean" | "dirty"); an empty schedule is the bullet under the same lattice. make_whole books issuer make-whole calls as (date, spread_bp) — data only, never exercised on the lattice. issuer tags the bond’s credit; security_spread its own spread key. A price is per 100 of the face alive on its date, so an amortising (sinking-fund) bond is called on its outstanding face. exercise is "bermudan" (on the dates alone) or "american" (each right runs from its date to the next entry’s, the last on its date).
callable_loan 🔒: A loan (from loan) with a schedule of (date, price, "call" | "put"[, "clean" | "dirty"]): the borrower may prepay on a call, the lender demand repayment on a put, at price per 100 of the principal then outstanding, plus the interest accrued for a clean price — valued on the currency’s Hull-White lattice, exercised as callable_bond reads exercise. issuer tags the borrower’s credit. Booked from the depositor’s side (borrower=False) it is a callable or puttable term deposit. A floating loan exercises on its interest dates alone, Bermudan.
callable_oas 🔒: The option-adjusted spread at which the callable’s clean price is clean_price.
callable_swap 🔒: swap — a vanilla or overnight swap — cancellable on exercise_dates by callable_by: "holder" (a right bought) or "counterparty" (a right sold). Valued as the swap plus a Bermudan struck at its fixed rate on the Hull-White lattice, so its market needs the model pinned.
capitalisations 🔒: Every capitalisation on a payment-in-kind bond’s life, in order: the date the coupon would have paid, the rate and year fraction it accrued at, the face entering and leaving the period, and the amount rolled into principal.
cash_terms 🔒: A cash settlement’s three terms, all or none.
cdo_tranche 🔒: A synthetic CDO tranche [attach, detach) of an index pool. With index_factor, the tranche on a pool that has lost names: the points are on the surviving pool, the legs on pool_notional · index_factor. With recovery_floor, Amraoui–Hitier stochastic recovery on that floor — a number (Rust with_recovery_floor) or "Market", the market’s floor for the index (on_market_recovery_floor), with a risk row. With factor_dof and idiosyncratic_dof, both or neither, the double-t copula in place of the Gaussian — two numbers (Rust with_student_t) or two "Market", the market’s for the index (on_market_copula_dof), with risk rows.
cds_option 🔒: A single-name knockout CDS option on instrument — the CDS it exercises into — under Black’s model on the forward spread: (value, forward, annuity). kind is a SwaptionKind: a payer holds the right to pay the strike spread (buy protection), a receiver the right to receive it. short=True is the option’s seller, its value negated.
clean_price_at_oas 🔒: The callable’s clean price at an option-adjusted spread.
cme_conversion_factor 🔒: The CME Treasury futures conversion factor of a bond with coupon (a decimal) maturing on maturity, for the delivery month starting on delivery_month_start: "month" rounding for the 2-, 3- and 5-year contracts, "quarter" for the 10-year and bond contracts.
cms_coupon_rate 🔒: What one CMS coupon on the swap index template at tenor, fixing on fixing and paid on payment, pays as a rate: gearing·CMS + spread, with a collar (cap, floor) or a digital (call, put, naked, gap, spelled as Leg.with_digital spells them) on it, each option replicated off the swaption smile under linear TSR at mean_reversion.
cms_option 🔒: A CMS caplet (kind="Call") or floorlet on the swap index template at tenor and strike, fixing on fixing and paid on payment, as a rate: replicated off the swaption smile under the linear terminal swap rate model at mean_reversion.
cms_payoff 🔒: The payoff a CMS coupon carries, from the keywords a Python caller spells it with: a collar (cap, floor) or a digital (call, put as Leg.with_digital takes them, naked, gap), or none. A coupon carries one payoff, so both at once is refused.
cms_rate 🔒: The CMS rate on the swap index template at tenor, fixing on fixing and paid on payment: the index swap’s forward and the rate convexity- adjusted by the linear terminal swap rate model at mean_reversion, as (forward, rate).
cms_spread_coupon_rate 🔒: What one CMS spread coupon still to fix pays, as a rate: gearing·(CMS(tenor) − CMS(minus_tenor)) + spread on the swap index template, the two rates joined by correlation — a number, or "Market" for the market’s mark for the pair — with a collar or a digital on it spelled as Leg.with_digital spells one.
cms_spread_option 🔒: An option on the spread of two CMS rates on the swap index template, CMS(tenor) − CMS(minus_tenor), fixing on fixing and paid on payment, as a rate: a call pays (S₁ − S₂ − strike)⁺, a put (strike − S₁ + S₂)⁺. The two rates are joined by correlation, a number or "Market".
cms_swap 🔒: A CMS swap: a leg paying the CMS rate of the swap index template at tenor each period of schedule — fixing in advance, geared and spread, accruing on day_count — against other on the opposite side. The linear TSR convexity adjustment is taken at mean_reversion. cap and floor collar every CMS coupon’s rate gearing·CMS + spread; call, put, naked and gap put a digital on it, spelled as Leg.with_digital spells one.
compounded_oas 🔒: A continuously compounded spread quoted at a periodic frequency: m·(e^{s/m} − 1). The lattice’s OAS is continuous; this is presentation.
constituent_template 🔒: The CDS conventions an index’s constituents trade under, from the index contract’s family; the standard template where the contract names none.
constituents_on 🔒: An index’s constituents as (reference, weight) pairs: each name a full ENTITY/SENIORITY/DOCCLAUSE spelling as given, or a bare entity on the family’s standard tier and clause.
contract_on 🔒: The listed-contract body both paths forward to.
correlation_in_range 🔒: The copula kernels take a correlation in [0, 1); the core asserts it, the binding refuses it as a value error.
coupon_bond_option 🔒: A European option on a coupon bond under Hull-White by Jamshidian’s decomposition, per unit face. coupons are per unit face, one per pay_dates entry, and include the redemption on the last date; strike is in the same units. kind is "call" or "put".
credit_default_swap 🔒: A single-name CDS on the standard (CDS2015) template: its maturity rolled off the trade date and a whole-year tenor_years, or the stated maturity a confirm carries, which is how an 18-month or an off-cycle contract is expressed at all.
credit_default_swap_option 🔒: A European option on the CDS underlying, booked like any product and priced off the market’s credit vol surface for the underlying’s name.
credit_index 🔒: The credit index family by name.
credit_linked_note 🔒: A funded credit-linked note on entity, held by the investor unless issued.
credit_linked_swap 🔒: A credit-linked swap on reference — a bare entity on the standard template’s tier and clause, or a full ENTITY/SENIORITY/DOCCLAUSE spelling — in currency, paying legs, each a (leg, role) pair: the leg as built (its own currency and discount key), the role one of independent, contingent, default or recovery. A leg in another currency prices on the entity’s curve in that currency and converts at spot. settles_accrual: True (the default) settles a contingent coupon’s accrual to the default by the halfway rule, False settles none; accrual_on_default names the rule instead, proportional among them, and the two are not given together. fixed_recovery fixes the contract’s recovery; otherwise the trade currency’s curve supplies the market’s. default_payment_time is at_default, at_period_end or at_maturity.
credit_on 🔒: A basket or pool constituent’s market key: a full identity as given, or a bare entity on template’s standard tier and clause in currency.
cross_currency_rungs 🔒: The (pillar, instrument, basis) rungs of a collateral ladder, built from the basis-swap template at tenors (periods such as "1Y") and their quoted bases, dated by the template’s own conventions; what calibrate_cross_currency takes. template is a registered code or a Template, registered or customised.
cross_currency_template 🔒: A cross-currency template of the caller’s own: a leg on the registered index leg1 against one on leg2, collateralised under the overnight index collateral.
curve_pin 🔒: A curve’s own reading at date as an instrument — the discount_factor or the zero_rate of currency’s discount curve — for pinning a curve node directly: Rung.priced(date, curve_pin(...), value, 1.0).
curve_yield_at 🔒: The zero rate curve implies to date, expressed on basis — the reference yield an I-spread or G-spread reads. Zero at or before the curve’s reference date. "default" reads as annual, as for pv_weighted_time.
deposit 🔒: A money-market deposit rung: lent on valuation, maturing tenor on under the template’s calendar and convention, on its day count, quoted at rate. Labelled by its tenor.
deposit_on 🔒: The deposit body both paths forward to.
diagnostics 🔒: What instrument resolved to on market, as its product’s diagnostics class: Instrument.diagnostics.
discount_bond_affine 🔒: The affine factors (A, B) of the model’s discount bond seen from t: P(t, maturity; r) = A · e^{−B·r}.
discount_margin 🔒: The note’s discount margin at a quoted clean price: the flat continuous spread on the discounting that reprices the quote.
effective_risk 🔒: The callable’s effective risk at a given OAS: duration, convexity and DV01 against a parallel move in the curve, all from one lattice pass.
equity_basket_total_return_swap 🔒: equity_total_return_swap on a basket of (name, quantity, initial_price) constituents, each read off its own quoted spot, EQ- fixings and DIV- dividends; the funding notional defaults to Σ quantity · initial_price.
equity_option 🔒: A European kind (call or put) on quantity shares of the equity name, struck at strike and expiring and paying on expiry: Black-Scholes on the dividend-free forward, off the market’s quoted spot (MarketContext.with_equity_spot) and vol surface (MarketContext.with_equity_vols). A negative quantity is short. barrier and barrier_kind together add a single continuously monitored barrier, valued in closed form under Black–Scholes; rebate is paid per share by a knock-in that never knocks in (at expiry) or a knock-out on the hit.
equity_total_return_swap 🔒: A total return swap on quantity shares of the equity name from initial_price per share, resetting on reset_schedule. It is valued on the period under way, return and funding accrued from its start to the valuation date, off the market’s quoted spot (MarketContext.with_equity_spot), with dividends from the DIV-<name> fixings. The funding terms are bond_total_return_swap’s.
eurex_btp_conversion_factor 🔒: Eurex’s conversion factor for a semi-annual BTP delivered into the Euro-BTP future, to seven decimals: the EUR formula on half-year periods, each payment that rolls off a weekend or TARGET holiday discounted the further fraction of a period it rolls. Arguments as eurex_conversion_factor’s.
eurex_chf_conversion_factor 🔒: Eurex’s conversion factor for a CHF Swiss Confederation bond with coupon (a decimal) maturing on maturity, delivered on delivery into the CONF future at notional_coupon: whole years to maturity and full months to the next coupon, as Eurex’s CHF document states it, unrounded.
eurex_conversion_factor 🔒: Eurex’s conversion factor for an annual-coupon EUR bond with coupon (a decimal), accruing from interest_start, first paying on first_coupon and maturing on maturity, delivered on delivery into a contract with notional_coupon (0.06 for the Schatz, Bobl, Bund and Buxl).
european_swaption 🔒: A European swaption on underlying, exercised into it at expiry.
expected_tranche_loss 🔒: The large-homogeneous-pool expected tranche loss as a pool-loss fraction: E[min(max(L − attach, 0), detach − attach)] for unconditional default probability pd, loss given default lgd and asset correlation rho under the one-factor Gaussian copula, or the double-t with factor_dof and idiosyncratic_dof (both or neither).
fair_forward_rate 🔒: The forward rate covered interest parity implies for an FX forward.
fair_margin 🔒: The funding margin that values a bond total return swap at zero.
family_of 🔒
fee 🔒: A standalone fee: amount in currency on payment_date, positive received and negative paid, discounted on the currency’s cash collateral — the way an upfront is attached to a structure.
finish_future_option 🔒
fit_bond_curve 🔒: Fit a parametric discount curve to a bond universe.
fixed_rate_bond 🔒: Registers every constructor on the module. A fixed-rate bullet bond: coupon paid at frequency on day_count, redeeming face at maturity. Its readings — price, yield, durations, accrued, amortisation — are methods of the bond it returns.
floating_rate_note 🔒: A floating-rate note on a registered term index at margin over it. outstanding is a notional profile, one fraction of the face per coupon period starting at 1 and never rising; omitted, the note is a bullet.
format_notional 🔒: 10,000,000 for a round notional; the plain number otherwise. The digits are read off the number’s own {:.0} rendering, so no cast is involved.
forward_of 🔒
forward_price 🔒: The bond’s forward price per 100 at forward_date, on a named price basis, carried on the repo curve under repo_key or on the discount curve itself.
fra 🔒: A forward-rate-agreement rung: the accrual starts start after the index’s spot date and runs one index period, quoted at rate. Labelled 3x6.
fra_between 🔒: The stated-FRA body both entry points forward to.
fra_on 🔒: The FRA body both the code-keyed function and Template.forward_rate_agreement forward to, so the two paths cannot compute different numbers.
fra_settlement 🔒: The FRA’s settlement amount — the discounted difference between the projected and the struck rate on the notional.
future 🔒: A listed rate-future rung, quoted at its price (95.90): the curve fits the futures rate (100 − price)/100 less convexity. contract is an IMM code ("DEC26"), a "YYYY-MM" month, or an explicit (start, end) window. convexity is a decimal adjustment, or "model" to read the market’s Hull-White model at solve time; zero is a statement that future and forward coincide, not a neutral default. Labelled by the contract.
future_between 🔒: The stated-future body both entry points forward to.
future_on 🔒: The rate-future body both paths forward to.
futures_convexity 🔒: The future’s convexity adjustment as a rate: its futures rate less the forward rate of the same contract with no adjustment.
futures_price 🔒: The future’s fair price, 100 − rate, convexity-adjusted as the contract says.
fx_delta 🔒: The Garman–Kohlhagen delta of a kind option at strike, under convention — the core’s delta, named for its market here.
fx_forward 🔒: An FX forward buying base_amount of base against quote at contract_rate on value_date; cash-settled — a non-deliverable forward — when a settlement index (an FX key or an Index), a fixing date and a settlement currency are all given.
fx_option 🔒: A vanilla FX option on notional_base of base, struck at an absolute strike, at the option’s own unsigned delta under the surface’s convention, resolved against the smile, or as the quote_amount exchanged for notional_base — exactly one of the three; cash-settled — a non-deliverable option — when a settlement index (an FX key, an Index or a cross tuple), a fixing date and a settlement currency are all given.
fx_swap 🔒: An FX swap: a near forward and an opposite far forward on one pair.
fx_swap_helper 🔒: An FX-swap rung: the template’s FX swap, the near leg today at spot, the far leg tenor from the spot date at the quoted outright (outright=) or at the spot plus points= — exactly one of the two. The rung solves the foreign currency’s discount under the template’s collateral currency, and its quote is the outright the swap’s fair far rate verifies.
hull_white_convexity_bias 🔒: The Hull-White convexity bias: the futures rate less the forward under Hull-White for a contract whose term rate fixes at t and runs to maturity (years), at futures_price.
ice_gilt_conversion_factor 🔒: The ICE Long Gilt conversion factor of bond for the delivery month starting on delivery_month_start: its clean price per unit nominal at notional_coupon (a decimal) under gilt conventions, to seven decimals.
index_credit_default_swap 🔒: An index CDS on family ("CDX.NA.IG" or "ITRAXX.EUROPE"), series, at the family’s standard coupon.
index_family 🔒: A credit index family’s template, by its code ("CDX.NA.IG", "ITRAXX.EUROPE"); an unknown family is a ValueError.
index_intrinsic 🔒: An index CDS measured against its constituents: (value, spread), the replicating single-name portfolio’s value and duration-weighted spread. constituents are (entity, weight) pairs, the weight each name’s share of the original index notional.
index_ratio 🔒: The linker’s index ratio at date: the lagged index level over the base.
index_skew 🔒: The skew that makes an index’s constituents reprice it: instruments are index CDS at strictly ascending maturities, each valued on the index’s own curve in market; constituents are (entity, weight) pairs as index_intrinsic takes them. Solved tenor by tenor.
inert_convention 🔒: A builder applied to a family that carries the convention but whose constructor here cannot read it.
inflation_linked_bond 🔒: An inflation-linked bond paying real_coupon on face grown by index from base_index, observed lag_months before each date.
instantaneous_forward 🔒: The instantaneous forward f(0, date) off curve: a centred difference of −ln P(0, ·) over a week, the stencil the lattice fit uses.
interest_rate_cap_floor 🔒: A cap or floor on a registered index: a strip of options on the index’s own coupons from effective to termination, on notional, struck at strike; kind is cap or floor.
inv_norm_cdf 🔒: The inverse of the standard normal cumulative distribution.
lag_days 🔒: A lag in business days as a template takes it: forward, and within a year.
linker_invoice 🔒: The linker’s settlement invoice at a real clean quote: (index_ratio, clean, accrued, dirty) per 100 nominal.
linker_real_price 🔒: The real dirty or clean price at a street real yield — TIPS, Canadian RRBs and UK gilts at the three-month lag.
linker_real_yield 🔒: The street real yield implied by a real clean quote.
loan 🔒: A fixed-rate loan over schedule: notional drawn on its first date, interest at fixed_rate on day_count paid at each period’s end, and the principal repaid on its last date. borrower=True takes the drawdown and pays the servicing; False books the lender’s side. amortisation="Straight-Line" repays notional / n at each of the n period ends instead, each period’s interest on what is still outstanding. issuer tags the borrower’s credit: the servicing survival-weighted with recovery on the outstanding, the drawdown risk-free.
locator_of 🔒
meeting 🔒: A meeting rung: the meeting-dated swap locator names at rate, noded at the window’s end (where its accrual ends, not where it pays: the knot is the decision), its pillar carrying the deciding meeting so the solved curve is a step curve and risk reads per decision; labelled by bank and meeting date (FED 2026-12-09).
meeting_ois 🔒: A meeting-dated overnight swap on a meeting-OIS template: one fixed coupon at fixed_rate on the template’s fixed day count against one compounded overnight coupon over the window locator names — a (start, end) pair, the n-th decision after valuation closing at the next, or a decision date closing at the next, the ordinal and the decision resolving to effective dates against schedule or the seeded one — both paid the template’s payment lag after the window end (two business days for USD, as its OIS pays). It is an overnight indexed swap over one period, and prices, quotes and risks as one.
no_such_convention 🔒: A builder applied to a family whose conventions do not carry it.
norm_cdf 🔒: The standard normal cumulative distribution.
note_components 🔒: A credit-linked note’s (coupons, redemption, recovery) components.
note_dirty_price 🔒: A structured note’s value per 100 of face — its dirty price.
note_z_spread 🔒: The z-spread implied by a structured note’s dirty price per 100: the flat continuous spread over its discounting that reprices it, the coupons projected spread-free — Rust’s note_z_spread.
nth_to_default_swap 🔒: An nth-to-default basket on entities under one pairwise correlation: correlation, a contract term with no risk row, or correlation_key, the market’s basket correlation under that key — exactly one. With factor_dof and idiosyncratic_dof, both or neither, the double-t copula (Rust with_student_t) in place of the Gaussian; or with copula_dof_key, a credit index id, the double-t on the degrees of freedom the market marks for it (Rust on_market_copula_dof), with risk rows.
on_linker_view 🔒: Resolve the fixings and inflation curve a linker street measure reads.
on_the_run 🔒: The series of family on the run on date: the latest to have rolled on or before it.
on_view 🔒: Resolves instrument’s declaration against market and runs f on the passive view, with the lock released — the same seam a valuation uses.
ordered 🔒: Refuses a contract whose end is not after its start, naming both dates.
package_value 🔒: A repo’s value with its collateral: the cash leg plus the bond received, less the bond returned at its repo forward, less — classic — the coupons manufactured back. A cross-currency repo’s foreign bond is valued on its own currency’s curve and converted at spot.
par_rungs 🔒: The par rungs of a swap ladder, each carrying the tenor it was quoted at: the swap template’s swap from its spot date to each tenor at the quoted fixed rate, noded at its final payment date, in pillar order — what calibration.curve takes. quotes is a mapping of tenor to rate or a list of (tenor, rate) pairs; template a registered code or a Template.
parse_fit_weights 🔒: A fit weighting by the package’s spelling.
parse_fitted_form 🔒: A parametric fit form by the package’s spelling.
parse_linker_convention 🔒: A linker street convention by the package’s spelling.
payer_swaption 🔒: A European payer swaption under Hull-White, per unit notional: the par-struck put on the coupon bond paying fixed_rate × accrual on pay_dates plus redemption, on curve.
payment_in_kind_bond 🔒: A bond that pays its coupon in more of itself: the face accretes at rate instead of paying cash.
premium_contract 🔒: The credit default swap a tranche, an nth-to-default basket, an index CDS or a credit-linked note pays its premium on, as an instrument of its own: its premium leg is the product’s premium schedule, its entity the curve the product references, and it books and prices like any CDS.
pv_weighted_time 🔒: The PV-weighted mean time of flows, given as (time_in_years, amount) pairs, at yield_ under yield_convention: Macaulay duration in yield space, spread duration in curve space — one mechanism, two names. Bare flows carry no coupon frequency, so the convention names the compounding outright and "default" reads as annual.
receiver_swaption 🔒: A European receiver swaption under Hull-White, per unit notional: the par-struck call on the same coupon bond as payer_swaption.
receives_fixed 🔒: Whether an inflation swap’s holder receives the fixed leg: receives names the leg ("inflation", the default, or "fixed"), and receiver is its older spelling, True for receiving fixed. The two are not given together.
reference_index 🔒: The street reference index at date under a named observation.
reference_on 🔒: What a single-name credit builder references: a full ENTITY/SENIORITY/DOCCLAUSE spelling as given, or a bare entity on the template’s standard tier and clause — the template, not the identity, carries the default. Where the contract’s currency is known, the market’s own key ENTITY/SENIORITY/DOCCLAUSE/CCY is accepted too, so one curve has one spelling; its currency must be the contract’s.
register 🔒
register_analytics 🔒: Registers every analytic on the module.
register_bond_option_readings 🔒: Registers the readings of the bond option and the bond future option.
register_curve_helpers 🔒: The calibration.helpers module: one function per pillar kind.
register_repack 🔒
register_structured_notes 🔒: Registers the structured note’s constructor and readings.
registered_code 🔒: The registered template under code, or the known codes by name. The registry’s own spelling of code — the 'static code a template source names — or the empty string where it is not registered, which the caller has already refused.
repack_arm 🔒
repack_gap 🔒: The repack gap charge of note against market, under the note’s engine.
repack_note 🔒: A single-asset repack note on asset_swap — the SPV’s, as its buyer — whose collateral is issued by issuer, of notional, booked from repack_role, its gap priced under engine, with an optional valuation trigger. On a cross-currency asset swap the notes are in its floating currency and the gap is simulate_repack_gap’s alone.
repo_margin 🔒: A repo’s margin position against market: exposure, collateral_value on the margin basis, required, excess (negative is a call) and haircut. The collateral is priced off its curves, or at price per 100.
repo_on 🔒: The repo body both paths forward to.
risky_value 🔒: The survival-weighted value of flows — (date, amount) pairs — plus a recovery-of-face leg: each flow pays only if the issuer survives to its date, and default pays recovery × face on the face at the midpoint of each quarter-long interval from default_from to maturity.
rung_err 🔒
series_maturity 🔒: The maturity of series of family at tenor_years: three months after its roll and the tenor on. An off-the-run series keeps it.
series_roll 🔒: The nominal date series of family rolls on: the 20th of March or September, six months a series from the family’s anchor.
settlement_date 🔒: The date a payment-in-kind bond traded on trade_date settles on: its settlement lag walked from it, never before issue.
sheet_locator_of 🔒: A meeting window as Python spells it: a (start, end) pair of dates, an integer ordinal (the n-th seeded meeting after the valuation date) or a meeting date. Where a quote sits, in a sheet’s spellings: a string ("4Y", "SEP27", "2027-03-18", "2026-10-29 - 2026-12-10", "SEP27 - DEC27"), a date, or a pair of dates or contract codes.
sigma_from_price 🔒: The Hull-White σ at which the zero-bond option prices at target_price, as (sigma, d_sigma_d_price, price) — the implicit-function derivative of the fit beside it — or None where no σ reaches the price. model’s mean reversion is held; its σ is ignored.
simple_margin 🔒: The note’s simple margin at a quoted clean price — the closed-form shortcut to the discount margin. No curve, no projection, no solve.
simulate_repack_gap 🔒: The repack gap of note against market by Monte Carlo: crises, the valuation trigger and its liquidation lag included.
simulate_repack_gap_risk 🔒: The simulated gap’s sensitivity to every lifted input of market, by a central difference on common random numbers: input and value.
simulation_settings 🔒: The settings, a refused one a ValueError like any malformed argument.
spread_duration 🔒: The note’s spread duration: its sensitivity to a flat continuous overlay on the discounting, and its dominant risk.
stated_dates 🔒: The stated contract dates of a verb with two forms: None for the derived form, the dates when every one is stated. Giving both forms, or only some of the stated dates, is refused naming them.
straddle 🔒: Two options of one strategy booked as one product — a straddle, or a strangle when the strikes differ: FX options on one pair or European swaptions in one currency. Worth the options’ sum; Instrument.implied_vol quotes it on one flat vol, the way a straddle is quoted.
street_index_ratio 🔒: The linker’s street index ratio at date, by its market’s convention.
strike_from_delta 🔒: The strike whose signed delta is target under convention — calls positive, puts negative.
strip_caplet_smile 🔒: Caplet vols from a quoted cap matrix: one surface carrying a smile, in which each strike column is the caplet ladder stripped at that strike.
strip_caplet_vols 🔒: Caplet vols stripped from term cap quotes on a registered term index: quotes are (termination, vol) pairs ascending in termination, each the flat vol the cap from effective to that date is quoted at; strike is the caps’ common strike, or each cap’s own at-the-money rate when omitted. The surface returned reprices every quoted cap exactly, pinned with with_cap_vols.
strip_from_callable 🔒: The co-terminal swaption strip a callable implies: one (expiry, end) per exercisable call, each running to the bond’s maturity.
structured_note 🔒: A structured note: leg, received, and face redeemed at its last payment date, discounted on the leg’s key — any composed coupons (IBOR, overnight, CMS or CMS spread, with collars or digitals, or range accruals), built from whatever cashflows the legs hold. issuer tags it to that name’s credit (survival-weighted, recovery of face per coupon period); security_spread composes the spread pinned under that key onto its discounting, the coupons still projecting spread-free.
swap 🔒: A swap rung on an OIS or IRS template: at a tenor, the template’s par swap from spot, noded at its final payment — one rung of par_rungs; over a window — (start, end) as dates or contract codes, or the string spellings "2027-09-15 - 2027-12-15" and "SEP27 - DEC27" — the one-period forward swap over it on an OIS template, noded at the window end with no meeting identity. On an NDS template, at a tenor, the template’s NDS at that par rate, marking its index’s projection against the held settlement and offshore discounts.
swap_conventions 🔒: The conventions a swap booked between effective and termination on template (a registered overnight swap template code) or on index (a registered index code, whose family decides the swap) will carry, as a table of field and value — read before anything is booked, from the same builder vanilla_swap books through. Exactly one of the two is named.
swap_from_legs 🔒: A fixed-versus-floating swap from two legs — an amortising, stepped or otherwise nonstandard swap built coupon by coupon, booked as one trade.
swap_index_code 🔒: The registry code of the rate index a swap template projects off.
swap_template 🔒: A vanilla swap template of the caller’s own: fixed at frequency on fixed_day_count against the term index — an Index value or a registry code — paying on the index’s tenor and accruing on its day count, scheduled on calendar under business_day_convention from spot_lag business days after valuation. Refine it with the template’s with_* methods — with_leg_conventions("float", frequency=) where the floating leg pays otherwise — and draft on it with vanilla_swap, as on a registered template. It never enters the registry; it carries name.
swaption_underlying 🔒: The swap a swaption confers, from the handle the package built it as.
template 🔒
template_by_code 🔒: The registered template under code, as a value.
template_value 🔒: The (pillar, instrument, quote) par rungs of a swap ladder, built from the swap template and quotes — a mapping of tenor ("1Y", "10Y") to par rate, or a sequence of (tenor, rate) pairs — dated by the template’s own conventions and noded at each swap’s final payment; what calibration.curve takes. The rungs come back in pillar order whatever order the quotes were given in. template is a registered code or a Template, registered or customised. A template as the ladder builders take it: a Template value, registered or customised, or a registry code resolved here — with the code either way, which labels the rungs and names the template in a refusal.
templates 🔒: Every registered template as a table: code, the spelling template takes; family, as Template.family reads it; and the registry’s own group and name it is filed under.
tenor_basis 🔒: A tenor basis rung: the template’s basis swap from spot to tenor carrying spread on its spread leg, declared as a spread rung.
tenor_quotes 🔒: Tenor-to-rate quotes as the ladder builders take them: a mapping, read in insertion order, or a sequence of (tenor, rate) pairs. Either way the tenor is a period string and the quote a number.
term_index 🔒: A registered term index, or the refusal naming what was asked for.
turn 🔒: A turn rung: the window [start, end] on a meeting-OIS template quoted at segment_rate, the simple forward over the window — the surrounding level plus the jump, as a desk states a year-end turn — noded at end and carrying the turn as its pillar’s identity; labelled turn <start>. A turn is a window: the ladder needs a pillar at start too, which a meeting rung ending there supplies.
uk_money_accrued 🔒: The UK money accrued per 100 at settlement.
uk_money_price 🔒: The UK money dirty price at a semiannual real yield.
uk_money_yield 🔒: The DMO money yield a real yield implies under an assumed inflation rate.
uk_real_yield_from_money 🔒: The real yield a DMO money yield implies — the inverse of uk_money_yield.
uk_real_yield_from_money_dirty 🔒: The semiannual real yield implied by a UK money dirty price — the inverse of uk_money_price.
unreachable_convention 🔒: A builder applied to a family that carries the convention and whose product reads it, but which this class cannot build.
weekly_bond_future_option_from_template 🔒: The weekly option designated to expire on expires_on under the futures option template code: its last trading day and the quarterly future it exercises into by the exchange’s weekly rule, the rest as bond_future_option_from_template. CBOT’s and Eurex’s weeklies are drafted; a day the exchange lists no weekly for is refused.
with_equity_funding 🔒: The equity swaps’ shared funding terms.
wrap 🔒
wrong_family 🔒
xccy_basis 🔒: A cross-currency basis rung: the template’s swap from spot to tenor carrying basis on its quoted leg, the other leg’s notional at fx_rate (units of the other currency per one of the quoted) — one rung of cross_currency_rungs.
xccy_of 🔒: The cross-currency template found, or a refusal naming convention_name.
xccy_on 🔒: The cross-currency body both paths forward to.
xccy_quote 🔒: The quote a template’s quoted leg takes: spread= where it floats, fixed_rate= where it is fixed; the other is refused by name, as is giving neither.
xccy_side 🔒: The side of t that leg names: "leg1", "leg2", or a leg’s currency.
yield_convention_status 🔒: The vendor calc methods’ convention status, one row per registered code: code, name, status ("pinned" or "pending") and outstanding (what a pending code awaits, empty when pinned) — Rust’s VendorCalcMethod::registry() as a table.
yield_to_call 🔒: The yield to the callable’s exercise on date, at a dirty price.
yield_to_maturity_scenario 🔒: The callable’s yield to maturity scenario at a dirty price: the yield of the redemption at par on the maturity date — the scenario yield_to_worst ranks the exercise dates against.
yield_to_worst 🔒: The callable’s yield to worst at a dirty price: the lowest yield over maturity and every remaining exercise date, with the date attaining it.
yoy_inflation_cap_floor 🔒: A year-on-year inflation cap or floor on index: a strip of options on the index’s annual growth I(end)/I(start) − 1, struck at strike; kind is cap or floor. The periods are the year-on-year swap’s on the same dates — annual from base_date up to and including maturity, unadjusted — each observed lag_months back and accruing on day_count (ACT/365F when None). Each optionlet reads the index’s YoY vol surface (MarketContext.with_yoy_vols).
yoy_inflation_swap 🔒: A year-on-year inflation swap on index: a strip of annual index ratios against a strip of fixed coupons, each period settling on its own end date.
zcs_between 🔒: The stated-ZCS body both entry points forward to.
zcs_on 🔒: The zero-coupon-swap body both paths forward to.
zero_bond_option 🔒: A European option on a zero-coupon bond under Hull-White, per unit face: the closed form on the bond_maturity discount bond, struck at strike, exercised at expiry. kind is "call" or "put".
zero_coupon_bond 🔒: A zero-coupon bond: a short-dated zero-coupon government security quoted on a discount yield taken on the face.
zero_coupon_inflation_cap_floor 🔒: A zero-coupon inflation cap or floor on index: at maturity it pays notional · max(ω(I(T)/I(T0) − (1+strike)^τ), 0), ω one for a cap and minus one for a floor, strike the annualised zero-coupon rate and τ the day_count (ACT/365F when None) from base_date to maturity — the year fraction the zero-coupon inflation swap on the same dates compounds its fixed rate over, so a cap less a floor is that swap. Both levels are observed lag_months back; the option reads the index’s CPI vol surface (MarketContext.with_cpi_vols): Black on the forward ratio, or Bachelier on it.
zero_coupon_inflation_swap 🔒: A zero-coupon inflation swap on index: one payment each side at maturity, the inflation side paying the index’s growth from base_date and the fixed side the growth fixed_rate implies.
zero_coupon_quotes 🔒: The three quotes a zero is traded on, and the price behind them: (price, discount_yield, money_market_yield, bond_equivalent_yield, quoted_yield).

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