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    The API is under testing and may change before release.

    Price a swap from today's quotes

    You'll turn a morning's quote sheet into a market, book a five-year EURIBOR swap on it, and read what the swap is worth and the fixed rate that would make it fair.

    Before you start

    • helixio installed, in Rust or Python: see installing.
    • The day's par quotes for the curves your swap needs. A EURIBOR swap needs two sets: €STR swaps, which discount, and EURIBOR 3M swaps, which project the floating leg.

    Steps

    1. Write down the close date and the quotes, as a sheet keyed by template and tenor.
    2. Build the market with with_recipe_quotes("EUR", ...). The EUR recipe knows which curve each template's quotes solve.
    3. Book the swap from its template, giving only what is particular to your trade: start, length, notional, fixed rate and side.
    4. Ask the swap for its npv and its par_rate on that market.

    The numbered comments in the program match these steps.

    Rust
    use chrono::NaiveDate;
use helixrs::{CollateralSpec, MarketContext, QuoteSheet, Side, Termination, template};

type Outcome<T> = Result<T, Box<dyn std::error::Error>>;

fn main() -> Outcome<()> {
    // 1. The close you are marking at, and the quotes on the sheet.
    let close = NaiveDate::from_ymd_opt(2026, 10, 1).expect("a real date");
    let eur_close = [
        ("EUR-ESTR-OIS", "1Y", 0.0195),
        ("EUR-ESTR-OIS", "2Y", 0.0200),
        ("EUR-ESTR-OIS", "5Y", 0.0215),
        ("EUR-ESTR-OIS", "10Y", 0.0240),
        ("EUR-ESTR-OIS", "20Y", 0.0262),
        ("EUR-ESTR-OIS", "30Y", 0.0265),
        ("EUR-EURIBOR-3M-IRS", "1Y", 0.0210),
        ("EUR-EURIBOR-3M-IRS", "2Y", 0.0216),
        ("EUR-EURIBOR-3M-IRS", "5Y", 0.0232),
        ("EUR-EURIBOR-3M-IRS", "10Y", 0.0257),
        ("EUR-EURIBOR-3M-IRS", "20Y", 0.0278),
        ("EUR-EURIBOR-3M-IRS", "30Y", 0.0280),
    ];

    // 2. Build the market: €STR swaps discount, EURIBOR 3M swaps project.
    let market = MarketContext::as_of(close).with_recipe_quotes(
        &CollateralSpec::Currency("EUR".parse()?),
        &QuoteSheet::from_rows(eur_close.iter().copied())?,
    )?;

    // 3. Book the swap from its template: receive 2.30% fixed for five years.
    let swap = template("EUR-EURIBOR-3M-IRS")?
        .swap(close)?
        .with_maturity("5Y".parse::<Termination>()?)?
        .with_notional(10_000_000.0)
        .with_fixed_rate(0.0230)
        .with_side(Side::Receiver)
        .build()?;

    // 4. Read its value and its par rate.
    let npv = swap.npv(&market)?;
    let par = swap.par_rate(&market)?;
    println!("npv         {npv:.2}");
    println!("par rate    {par:.8}");

    Ok(())
}
    Python
    from datetime import date

import helixio as hlx

# 1. The close you are marking at, and the quotes on the sheet.
SOFR_CLOSE_DATE = date(2026, 10, 1)
EUR_CLOSE = {
    "EUR-ESTR-OIS": {"1Y": 0.0195, "2Y": 0.0200, "5Y": 0.0215, "10Y": 0.0240, "20Y": 0.0262, "30Y": 0.0265},
    "EUR-EURIBOR-3M-IRS": {"1Y": 0.0210, "2Y": 0.0216, "5Y": 0.0232, "10Y": 0.0257, "20Y": 0.0278, "30Y": 0.0280},
}

# 2. Build the market: €STR swaps discount, EURIBOR 3M swaps project.
market = hlx.MarketContext(SOFR_CLOSE_DATE).with_recipe_quotes("EUR", EUR_CLOSE)

# 3. Book the swap from its template: receive 2.30% fixed for five years.
swap = (
    hlx.templates.get("EUR-EURIBOR-3M-IRS")
    .swap(SOFR_CLOSE_DATE)
    .with_maturity("5Y")
    .with_notional(10_000_000.0)
    .with_fixed_rate(0.0230)
    .with_side("receiver")
    .build()
)

# 4. Read its value and its par rate.
npv = swap.npv(market)
par = swap.par_rate(market)
print(f"npv         {npv:.2f}")
print(f"par rate    {par:.8f}")
    npv         -9394.85
par rate    0.02320000

    Check it worked

    • The par rate is the 5Y EURIBOR quote on your sheet. A five-year swap from spot is one of the instruments the curve was solved to reprice, so anything else means the market was built from different quotes.
    • You receive 2.30%, below the par rate, so the value is negative. Flip the side to payer and the value changes sign.
    • Interest rate swap, every argument a swap takes.
    • Quote sheets and recipes, how a sheet becomes a market.
    • Strike a trade at its fair rate, to book the swap at par instead.

    From the 0.0 line at revision bf7f2e2. Every printed number is that revision's own output.