IRS_toolkit 0.2.1

Package to compute and price swap

IRS Toolkit

Table of Contents

1. Installation
2. Features
3. Project Structure
4. Example of usage
5. Documentation
6. Future Work

Installation

Requirements

• Python 3.9 or higher (up to Python 3.12)

Quick install

It is published on PyPI. To install, run:

pip install IRS_toolkit

Features

The Financial Toolkit Library provides a comprehensive suite of tools for financial calculations and analysis. Here's a detailed breakdown of the main features:

Interest Rate Swap (IRS) Valuation

• Swap Pricing (core/swap.py): Calculate present value and fair value of interest rate swaps
• Cash Flow Analysis (core/cash_flow.py): Generate and analyze swap cash flows
• Swap Legs (core/leg/): Handle different types of swap legs and their characteristics

Curve Analysis

• Yield Curve Construction (core/curve/yield_curve.py): Build and manipulate yield curves from market data with overnight rate integration
• Compounded Rates (core/curve/compounded.py): Handle compounded rate calculations
• Bootstrapping: Implement bootstrapping algorithms for zero-coupon rates
• Forward Rates: Calculate forward rates

Additional Features

• Date Handling: Comprehensive date manipulation and business day conventions
• Documentation: Detailed documentation and usage examples
• Testing: Comprehensive unit test suite for all major functionalities

Project Structure

financial-toolkit-library/
├── IRS_toolkit/          # Main package source code
│   ├── core/            # Core functionality
│   │   ├── curve/      # Yield curve implementations
│   │   ├── leg/        # Swap leg implementations
│   │   ├── swap.py     # Swap pricing
│   │   └── cash_flow.py # Cash flow analysis
│   ├── utils/          # Utility functions
│   └── options/        # Options pricing
├── docs/               # Documentation files
├── examples/           # Example notebooks and scripts
├── tests/             # Unit test suite
├── pyproject.toml     # Project dependencies and metadata
└── mkdocs.yml        # Documentation configuration

Example of usage

Build your yield curve

# Import packages
from IRS_toolkit.core.curve import yield_curve
from datetime import datetime 

# Input data
list_tenor = ['1D', '2D', '1W', '2W', '3W', '1M', '2M', '3M', '6M', '7M', '8M', '9M', '1Y', '15M', '18M', '21M', '2Y','3Y']
rates = [0.02, 0.021, 0.022, 0.023, 0.025, 0.027, 0.03, 0.032, 0.033, 0.034, 0.035, 0.036, 0.037, 0.038, 0.039, 0.04, 0.041, 0.045]
curve_date = datetime(2025,3,10)

# Set the curve
curve_tool = yield_curve.YieldCurve(
        list_tenor=list_tenor,
        list_rate=rates,
        date_curve=curve_date,
        date_convention="ACT/360",
    )

#Bootstrap yield curve
curve_tool.bootstrap("quarterly")

# Visualize dataframe
curve_tool.df

Documentation

The documentation is built using MkDocs. To view it, run:

mkdocs serve

Future Work

The next planned improvements that can be added to this library are:

• Improvement of yield curve construction by adding other conventions and multi-curve framework
• Pricing of swaptions
• Expanding documentation