ftp-calculator 0.1.810

Funds Transfer Pricing (FTP) calculator — Python bindings for a Rust engine

ftp-calculator

Python bindings for the FTP (Funds Transfer Pricing) calculator core engine written in Rust.

Installation

pip install ftp-calculator

Usage

import numpy as np
from ftp_core import FtpCalculator, compute_stock, compute_flux

outstanding = np.array([[1000.0], [1200.0], [1350.0]])
profiles = np.array([
    [1.00, 0.50, 0.20, 0.05],
    [1.00, 0.50, 0.20, 0.05],
    [1.00, 0.50, 0.20, 0.05],
])
rates = np.array([
    [0.01300, 0.01400, 0.01600],
    [0.01360, 0.01460, 0.01660],
    [0.01430, 0.01530, 0.01730],
])

# Class-based API
calc = FtpCalculator(outstanding, profiles, rates)
calc.compute("stock")  # or "flux"
print(calc.ftp_rate)   # numpy 2D array
print(calc.ftp_int)

# One-shot functional API
result = compute_stock(outstanding, profiles, rates)
print(result["ftp_rate"])
print(result["ftp_int"])

API

FtpCalculator(outstanding, profiles, rates)

Create a calculator instance with input matrices.

Parameters:

• outstanding: numpy array of shape (n, 1) - loan/position amounts
• profiles: numpy array of shape (n, m) - repricing profiles
• rates: numpy array of shape (n, m-1) - market rates

Methods:

• compute(method): Run computation using "stock" or "flux" method

Properties (available after compute):

• stock_amort: Amortized stock
• stock_instal: Stock installments
• varstock_amort: Variable stock (amortized)
• varstock_instal: Variable stock (installments)
• ftp_rate: Calculated FTP rate
• ftp_int: FTP interest (monthly)
• market_rate: Market rate

compute_stock(outstanding, profiles, rates)

One-shot computation using the stock method.

Returns: Dictionary with all output matrices as numpy arrays.

compute_flux(outstanding, profiles, rates)

One-shot computation using the flux method.

Returns: Dictionary with all output matrices as numpy arrays.

Development

This package is part of the FTP Calculator project.

See the main repository for build instructions and documentation.

License

MIT OR Apache-2.0