Module irs 

Interest-rate swap templates — the irs group covers every single-currency rate swap, both OIS (fixed vs compounded RFR) and vanilla IBOR (fixed vs term float). Builders resolve their index by code through the index registry.

Statics

IRS_IBOR

Registry rows for this template group.

IRS_IBOR_FWD

Registry rows for this template group.

IRS_MEETING_OIS

Registry rows for this template group.

IRS_OIS

Registry rows for this template group.

IRS_OIS_AVERAGED

Registry rows for this template group.

IRS_OIS_FWD

Registry rows for this template group.

IRS_TENOR_BASIS

Registry rows for this template group.

IRS_ZCS

Registry rows for this template group.

Functions

any_index_name 🔒

Resolves any rate index (overnight RFR or term IBOR) by code and returns its name — the forward-curve key. Used by the tenor-basis builder, whose legs may project an RFR or an IBOR index.

aud_aonia

AUD-AONIA-OIS template.

aud_bbsw_6m

AUD-BBSW-6M-IRS template.

cad_corra

CAD-CORRA-OIS template.

chf_saron

CHF-SARON-OIS template.

cnh_hibor_3m

CNH-HIBOR-3M-IRS template.

cny_shibor_3m

CNY-SHIBOR-3M-IRS template.

cny_shifon

CNY-SHIFON-OIS template.

dkk_destr

DKK-DESTR-OIS template.

eur_ecb_meeting_ois

EUR-ESTR-MeetingOIS template.

eur_estr

EUR-ESTR-OIS template.

eur_estr_euribor_basis

EUR-ESTR-EURIBOR-BASIS template.

eur_euribor_1m_zcs

EUR-EURIBOR-1M-ZCS template.

eur_euribor_3m

EUR-EURIBOR-3M-IRS template.

eur_euribor_3m_zcs

EUR-EURIBOR-3M-ZCS template.

eur_euribor_6m

EUR-EURIBOR-6M-IRS template.

eur_euribor_6m_3m_basis

EUR-EURIBOR-6M-3M-BASIS template.

gbp_boe_meeting_ois

GBP-SONIA-MeetingOIS template.

gbp_libor_3m

GBP-LIBOR-3M-IRS template.

gbp_sonia

GBP-SONIA-OIS template.

hkd_hibor_3m

HKD-HIBOR-3M-IRS template.

hkd_honia

HKD-HONIA-OIS template.

ibor_index 🔒

Resolves a term (IBOR) index by code.

ibor_swap 🔒

Builder for a vanilla IBOR swap template. name doubles as the registry code.

ibor_swap_fwd 🔒

Forward-generating vanilla IBOR variant (e.g. onshore CNY). Identical to ibor_swap but generates the schedule forward from the effective date.

ils_shir

ILS-SHIR-OIS template.

inr_overnight

INR-MIBOR-OIS template.

jpy_tibor_6m

JPY-TIBOR-6M-IRS template.

jpy_tona

JPY-TONA-OIS template.

krw_kofr

KRW-KOFR-OIS template.

meeting_ois 🔒

Builder for a meeting-date OIS template. name doubles as the registry code. The single accrual period is generated at materialisation from the deciding bank’s seeded meeting schedule, so no frequency/roll/spot-lag is carried.

mxn_f_tiie

MXN-F-TIIE-OIS template.

nok_nowa

NOK-NOWA-OIS template.

nzd_nziona

NZD-NZIONA-OIS template.

ois 🔒

Builder for an OIS template. name doubles as the registry code.

ois_averaged 🔒

Averaged-overnight variant: identical to ois but the floating leg averages its daily prints, Σ(rᵢ·τᵢ)/Στ, instead of compounding them.

ois_fwd 🔒

Forward-generating OIS variant (e.g. onshore CNY). Identical to ois but generates the schedule forward from the effective date.

overnight_index 🔒

Resolves an overnight index by code, panicking on a wiring error (caught by the registry round-trip test).

sar_saibor_3m

SAR-SAIBOR-3M-IRS template.

sek_stibor_3m

SEK-STIBOR-3M-IRS template.

sek_swestr

SEK-SWESTR-OIS template.

sgd_sora

SGD-SORA-OIS template.

tenor_basis 🔒

Builder for a single-currency tenor-basis template. name doubles as the registry code. Each leg resolves its index name from the index registry.

thb_thor

THB-THOR-OIS template.

try_tlref

TRY-TLREF-OIS template.

usd_effr_averaged

USD-EFFR-AVERAGED-OIS template.

usd_fed_funds

USD-EFFR-OIS template.

usd_fomc_meeting_ois

USD-SOFR-MeetingOIS template.

usd_libor

USD-LIBOR-3M-IRS template.

usd_sofr

USD-SOFR-OIS template.

zar_jibar_3m

ZAR-JIBAR-3M-IRS template.

zar_zaronia

ZAR-ZARONIA-OIS template.

zcs 🔒

Builder for a zero-coupon-swap template. name doubles as the registry code; the floating index is resolved by index_code. float_frequency is the compounding frequency of the floating side — a ZCS pays once, so it does not describe payments.