Merge remote-tracking branch 'origin/main'

rateslib/default.py

@@ -15,7 +15,7 @@ class NoInput(Enum):
     """
     Enumerable type to handle setting default values.
 
-    See :ref:`<default values <defaults-doc>`.
+    See :ref:`default values <defaults-doc>`.
     """
     blank = 0
     inherit = 1

rateslib/fx.py

@@ -125,6 +125,7 @@ def _convert_dual(k, v):
 
         # find currencies
         self.pairs = [k for k in self.fx_rates.keys()]
+        self.pairs_settlement = {pair: settlement for pair in self.pairs}
         self.variables = tuple(f"fx_{pair}" for pair in self.pairs)
         self.currencies = {
             k: i
@@ -838,6 +839,9 @@ def update(
                         fx_rates=fx_rates_obj,
                         fx_curves=sub_curves,
                     )
+                    settlement_pairs = {
+                        pair: fx_rates_obj.settlement for pair in fx_rates_obj.pairs
+                    }
                 else:
                     # calculate additional FX rates from previous objects
                     # in the same settlement frame.
@@ -860,6 +864,9 @@ def update(
                         self.fx_curves, fx_rates_obj.currencies_list + pre_currencies
                     )
                     acyclic_fxf = FXForwards(fx_rates=combined_fx_rates, fx_curves=sub_curves)
+                    settlement_pairs.update(
+                        {pair: fx_rates_obj.settlement for pair in fx_rates_obj.pairs}
+                    )
 
             if base is not NoInput.blank:
                 acyclic_fxf.base = base.lower()
@@ -874,6 +881,7 @@ def update(
                 "pairs",
             ]:
                 setattr(self, attr, getattr(acyclic_fxf, attr))
+            self.pairs_settlement = settlement_pairs
         else:
             self.currencies = self.fx_rates.currencies
             self.q = len(self.currencies.keys())
@@ -885,6 +893,7 @@ def update(
             self.pairs = self.fx_rates.pairs
             self.variables = tuple(f"fx_{pair}" for pair in self.pairs)
             self.fx_rates_immediate = self._update_fx_rates_immediate()
+            self.pairs_settlement = self.fx_rates.pairs_settlement
 
     def __init__(
         self,

rateslib/instruments.py

@@ -1967,7 +1967,7 @@ class FixedRateBond(Sensitivities, BondMixin, BaseMixin):
     - "ust": US Treasury street convention. Same as "ukg" except long stub periods have linear
       proportioning only in the segregated short stub part.
     - "ust_31bii": US Treasury convention that reprices examples in federal documents: Section
-      31-B-ii).
+      31-B-ii). Otherwise referred to as the 'Treasury' method.
     - "sgb": Swedish government bond convention. Accrued ignores the convention and calculates
       using 30e360, also for back stubs.
     - "cadgb" Canadian government bond convention. Accrued is calculated using an ACT365F
@@ -2878,7 +2878,7 @@ def rate(
             Only used if ``fx`` is an ``FXRates`` or ``FXForwards`` object.
         metric : str, optional
             Metric returned by the method. Available options are {"clean_price",
-            "dirty_price", "ytm"}
+            "dirty_price", "ytm", "index_clean_price", "index_dirty_price"}
         forward_settlement : datetime, optional
             The forward settlement date. If not given uses the discount *Curve* and the ``settle``
             attribute of the bond.

tests/test_fx.py

@@ -903,6 +903,38 @@ def test_fxforwards_cyclic_system_restructured():
     assert abs(result - expected) < 1e-2
 
 
+def test_fxforwards_settlement_pairs():
+    fxr1 = FXRates({"eurusd": 1.05}, settlement=dt(2022, 1, 3))
+    fxr2 = FXRates({"usdcad": 1.1}, settlement=dt(2022, 1, 2))
+    fxr3 = FXRates({"gbpusd": 1.2}, settlement=dt(2022, 1, 3))
+    fxf = FXForwards(
+        fx_rates=[fxr1, fxr2, fxr3],  # FXRates as list
+        fx_curves={
+            "usdusd": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "eureur": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "cadcad": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "usdeur": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "cadeur": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "gbpcad": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "gbpgbp": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+        },
+    )
+    assert fxf.pairs_settlement["eurusd"] == dt(2022, 1, 3)
+    assert fxf.pairs_settlement["usdcad"] == dt(2022, 1, 2)
+    assert fxf.pairs_settlement["gbpusd"] == dt(2022, 1, 3)
+
+    fxf = FXForwards(
+        fx_rates=fxr1,  # FXRates as list
+        fx_curves={
+            "usdusd": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "eureur": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+            "usdeur": Curve({dt(2022, 1, 1): 1.0, dt(2022, 2, 1): 0.999}),
+        },
+    )
+    assert fxf.pairs_settlement["eurusd"] == dt(2022, 1, 3)
+
+
+
 def test_fxforwards_positions_when_immediate_aligns_with_settlement():
     fxr1 = FXRates({"eurusd": 1.05}, settlement=dt(2022, 1, 1))
     fxr2 = FXRates({"usdcad": 1.1}, settlement=dt(2022, 1, 1))

tests/test_instruments_bonds.py

@@ -1009,6 +1009,34 @@ def test_fixed_rate_bond_fwd_rate(self):
     # def test_convexity(self):
     #     assert False
 
+    def test_latest_fixing(self):
+        # this is German government inflation bond with fixings given for a specific settlement
+        # calculation
+
+        ibnd = IndexFixedRateBond(
+            effective=dt(2021, 2, 11),
+            front_stub=dt(2022, 4, 15),
+            termination=dt(2033, 4, 15),
+            convention="ActActICMA",
+            calendar="tgt",
+            frequency="A",
+            index_lag=3,
+            index_base=124.17000 / 1.18851,  # implying from 1st Jan 2024 on webpage
+            index_method="daily",
+            payment_lag=0,
+            currency="eur",
+            fixed_rate=0.1,
+            ex_div=1,
+            settle=1,
+            index_fixings=Series(
+                data=[124.17, 123.46],
+                index=[dt(2024, 1, 1), dt(2024, 2, 1)]
+            ),
+        )
+        result = ibnd.ytm(price=100.32, settlement=dt(2024, 1, 5))
+        expected = 0.065
+        assert (result - expected) < 1e-2
+
 
 class TestBill:
     def test_bill_discount_rate(self):