DOC: multicurve frameworks

docs/source/g_cookbook.rst

@@ -17,6 +17,7 @@ into any one category.
     z_turns.rst
     z_quantlib.rst
     z_curve_from_zero_rates.ipynb
+    z_multicurveframework.rst
 
 **Credit Curve Building**
 

docs/source/plot_py/multi_curve_framework.py

@@ -0,0 +1,107 @@
+import matplotlib.pyplot as plt
+
+from rateslib import Curve, Solver, IRS, dt, SBS, FRA, get_imm, add_tenor
+
+from pandas import DataFrame
+
+data = DataFrame({
+    "effective": [dt(2025, 1, 16), get_imm(code="h25"), get_imm(code="m25"), get_imm(code="u25"),
+                  get_imm(code="z25"),
+                  get_imm(code="h26"), get_imm(code="m26"), get_imm(code="u26"),
+                  get_imm(code="z26"),
+                  get_imm(code="h27"), get_imm(code="m27"), get_imm(code="u27"),
+                  get_imm(code="z27")] + [dt(2025, 1, 16)] * 12,
+    "termination": [None] + ["3m"] * 12 + ["4y", "5y", "6y", "7y", "8y", "9y", "10y", "12y", "15y",
+                                           "20y", "25y", "30y"],
+    "RFR": [4.50] + [None] * 24,
+    "3m": [4.62, 4.45, 4.30, 4.19, 4.13, 4.07, 4.02, 3.98, 3.97, 3.91, 3.88, 3.855, 3.855, None,
+           None, None, None, None, None, None, None, None, None, None, None],
+    "6m": [4.62, None, None, None, None, None, None, None, None, None, None, None, None, 4.27, 4.23,
+           4.20, 4.19, 4.18, 4.17, 4.17, 4.14, 4.07, 3.94, 3.80, 3.66],
+    "3s6s Basis": [None, 10.4, 10.4, 10.4, 10.4, 10.4, 10.4, 10.5, 10.5, 10.6, 10.6, 10.5, 10.5,
+                   11.0, 10.9, 11.0, 11.2, 11.6, 12.1, 12.5, 13.8, 15, 16.3, 17.3, 17.8],
+    "3sRfr Basis": [None] + [15.5] * 24,
+})
+
+termination_dates = [add_tenor(row.effective, row.termination, "MF", "osl") for row in
+                     data.iloc[1:].itertuples()]
+data["termination_dates"] = [None] + termination_dates
+
+# BUILD the Curves
+nowa = Curve(nodes={dt(2025, 1, 14): 1.0, dt(2025, 3, 19): 1.0,
+                    **{d: 1.0 for d in data.loc[1:, "termination_dates"]}}, convention="act365f",
+             id="nowa", calendar="osl")
+nibor3 = Curve(nodes={dt(2025, 1, 14): 1.0, dt(2025, 3, 19): 1.0,
+                      **{d: 1.0 for d in data.loc[1:, "termination_dates"]}}, convention="act360",
+               id="nibor3", calendar="osl")
+nibor6 = Curve(nodes={dt(2025, 1, 14): 1.0, dt(2025, 3, 19): 1.0,
+                      **{d: 1.0 for d in data.loc[1:, "termination_dates"]}}, convention="act360",
+               id="nibor6", calendar="osl")
+
+# Instruments
+rfr_depo = [IRS(dt(2025, 1, 14), "1b", spec="nok_irs", curves="nowa")]
+ib3_depo = [IRS(dt(2025, 1, 16), "3m", spec="nok_irs3", curves=["nibor3", "nowa"])]
+ib6_depo = [IRS(dt(2025, 1, 16), "6m", spec="nok_irs6", curves=["nibor6", "nowa"])]
+
+# Prices
+rfr_depo_s = [data.loc[0, "RFR"]]
+ib3_depo_s = [data.loc[0, "3m"]]
+ib6_depo_s = [data.loc[0, "6m"]]
+
+# Labels
+rfr_depo_lbl = ["rfr_depo"]
+ib3_depo_lbl = ["3m_depo"]
+ib6_depo_lbl = ["6m_depo"]
+
+# Instruments
+ib3_fra = [FRA(row.effective, row.termination, spec="nok_fra3", curves=["nibor3", "nowa"]) for row
+           in data.iloc[1:13].itertuples()]
+ib6_irs = [IRS(row.effective, row.termination, spec="nok_irs6", curves=["nibor6", "nowa"]) for row
+           in data.iloc[13:].itertuples()]
+
+# Prices
+ib3_fra_s = [_ for _ in data.loc[1:12, "3m"]]
+ib6_irs_s = [_ for _ in data.loc[13:, "6m"]]
+
+# Labels
+ib3_fra_lbl = [f"fra_{i}" for i in range(1, 13)]
+ib6_irs_lbl = [f"irs_{i}" for i in range(1, 13)]
+
+sbs_irs = [SBS(row.effective, row.termination, spec="nok_sbs36",
+               curves=["nibor3", "nowa", "nibor6", "nowa"]) for row in data.iloc[1:].itertuples()]
+sbs_irs_s = [_ for _ in data.loc[1:, "3s6s Basis"]]
+sbs_irs_lbl = [f"sbs_{i}" for i in range(1, 25)]
+
+args = {
+    'frequency': 'q',
+    'stub': 'shortfront',
+    'eom': False,
+    'modifier': 'mf',
+    'calendar': 'osl',
+    'payment_lag': 0,
+    'currency': 'nok',
+    'convention': 'act360',
+    'leg2_frequency': 'q',
+    'leg2_convention': "act365f",
+    'spread_compound_method': 'none_simple',
+    'fixing_method': "ibor",
+    'method_param': 2,
+    'leg2_spread_compound_method': 'none_simple',
+    'leg2_fixing_method': 'rfr_payment_delay',
+    'leg2_method_param': 0,
+    'curves': ["nibor3", "nowa", "nowa", "nowa"],
+}
+sbs_rfr = [SBS(row.effective, row.termination, **args) for row in data.iloc[1:].itertuples()]
+sbs_rfr_s = [_ for _ in data.loc[1:, "3sRfr Basis"] * -1.0]
+sbs_rfr_lbl = [f"sbs_rfr_{i}" for i in range(1, 25)]
+
+solver = Solver(
+    curves=[nibor3, nibor6, nowa],
+    instruments=rfr_depo + ib3_depo + ib6_depo + ib3_fra + ib6_irs + sbs_irs + sbs_rfr,
+    s=rfr_depo_s + ib3_depo_s + ib6_depo_s + ib3_fra_s + ib6_irs_s + sbs_irs_s + sbs_rfr_s,
+    instrument_labels=rfr_depo_lbl + ib3_depo_lbl + ib6_depo_lbl + ib3_fra_lbl + ib6_irs_lbl + sbs_irs_lbl + sbs_rfr_lbl,
+)
+
+fig, ax, line = nibor3.plot("3m", comparators=[nibor6, nowa], labels=["nibor3", "nibor6", "nowa"])
+plt.show()
+plt.close()

docs/source/plot_py/multi_curve_framework2.py

@@ -0,0 +1,126 @@
+import matplotlib.pyplot as plt
+
+from rateslib import Curve, Solver, IRS, dt, SBS, FRA, get_imm, add_tenor
+
+from pandas import DataFrame
+
+data = DataFrame({
+    "effective": [dt(2025, 1, 16), get_imm(code="h25"), get_imm(code="m25"), get_imm(code="u25"),
+                  get_imm(code="z25"),
+                  get_imm(code="h26"), get_imm(code="m26"), get_imm(code="u26"),
+                  get_imm(code="z26"),
+                  get_imm(code="h27"), get_imm(code="m27"), get_imm(code="u27"),
+                  get_imm(code="z27")] + [dt(2025, 1, 16)] * 12,
+    "termination": [None] + ["3m"] * 12 + ["4y", "5y", "6y", "7y", "8y", "9y", "10y", "12y", "15y",
+                                           "20y", "25y", "30y"],
+    "RFR": [4.50] + [None] * 24,
+    "3m": [4.62, 4.45, 4.30, 4.19, 4.13, 4.07, 4.02, 3.98, 3.97, 3.91, 3.88, 3.855, 3.855, None,
+           None, None, None, None, None, None, None, None, None, None, None],
+    "6m": [4.62, None, None, None, None, None, None, None, None, None, None, None, None, 4.27, 4.23,
+           4.20, 4.19, 4.18, 4.17, 4.17, 4.14, 4.07, 3.94, 3.80, 3.66],
+    "3s6s Basis": [None, 10.4, 10.4, 10.4, 10.4, 10.4, 10.4, 10.5, 10.5, 10.6, 10.6, 10.5, 10.5,
+                   11.0, 10.9, 11.0, 11.2, 11.6, 12.1, 12.5, 13.8, 15, 16.3, 17.3, 17.8],
+    "3sRfr Basis": [None] + [15.5] * 24,
+})
+
+termination_dates = [add_tenor(row.effective, row.termination, "MF", "osl") for row in
+                     data.iloc[1:].itertuples()]
+data["termination_dates"] = [None] + termination_dates
+
+data.loc[1:12, "RFR"] = data.loc[1:12, "3m"] - data.loc[1:12, "3sRfr Basis"] / 100.0
+data.loc[13:, "RFR"] = data.loc[13:, "6m"] - data.loc[13:, "3s6s Basis"] / 100.0 - data.loc[13:, "3sRfr Basis"] / 100.0
+data.loc[13:, "3m"] = data.loc[13:, "6m"] - data.loc[13:, "3s6s Basis"] / 100.0
+data.loc[1:12, "6m"] = data.loc[1:12, "3m"] + data.loc[1:12, "3s6s Basis"] / 100.0
+
+# BUILD the Curves
+nowa = Curve(nodes={dt(2025, 1, 14): 1.0, dt(2025, 3, 19): 1.0,
+                    **{d: 1.0 for d in data.loc[1:, "termination_dates"]}}, convention="act365f",
+             id="nowa", calendar="osl")
+nibor3 = Curve(nodes={dt(2025, 1, 14): 1.0, dt(2025, 3, 19): 1.0,
+                      **{d: 1.0 for d in data.loc[1:, "termination_dates"]}}, convention="act360",
+               id="nibor3", calendar="osl")
+nibor6 = Curve(nodes={dt(2025, 1, 14): 1.0, dt(2025, 3, 19): 1.0,
+                      **{d: 1.0 for d in data.loc[1:, "termination_dates"]}}, convention="act360",
+               id="nibor6", calendar="osl")
+
+# Instruments
+rfr_depo = [IRS(dt(2025, 1, 14), "1b", spec="nok_irs", curves="nowa")]
+ib3_depo = [IRS(dt(2025, 1, 16), "3m", spec="nok_irs3", curves=["nibor3", "nowa"])]
+ib6_depo = [IRS(dt(2025, 1, 16), "6m", spec="nok_irs6", curves=["nibor6", "nowa"])]
+
+# Prices
+rfr_depo_s = [data.loc[0, "RFR"]]
+ib3_depo_s = [data.loc[0, "3m"]]
+ib6_depo_s = [data.loc[0, "6m"]]
+
+# Labels
+rfr_depo_lbl = ["rfr_depo"]
+ib3_depo_lbl = ["3m_depo"]
+ib6_depo_lbl = ["6m_depo"]
+
+# Instruments
+ib3_fra = [FRA(row.effective, row.termination, spec="nok_fra3", curves=["nibor3", "nowa"]) for row
+           in data.iloc[1:13].itertuples()]
+ib6_irs = [IRS(row.effective, row.termination, spec="nok_irs6", curves=["nibor6", "nowa"]) for row
+           in data.iloc[13:].itertuples()]
+
+# Prices
+ib3_fra_s = [_ for _ in data.loc[1:12, "3m"]]
+ib6_irs_s = [_ for _ in data.loc[13:, "6m"]]
+
+# Labels
+ib3_fra_lbl = [f"fra_{i}" for i in range(1, 13)]
+ib6_irs_lbl = [f"irs_{i}" for i in range(1, 13)]
+
+sbs_irs = [SBS(row.effective, row.termination, spec="nok_sbs36",
+               curves=["nibor3", "nowa", "nibor6", "nowa"]) for row in data.iloc[1:].itertuples()]
+sbs_irs_s = [_ for _ in data.loc[1:, "3s6s Basis"]]
+sbs_irs_lbl = [f"sbs_{i}" for i in range(1, 25)]
+
+args = {
+    'frequency': 'q',
+    'stub': 'shortfront',
+    'eom': False,
+    'modifier': 'mf',
+    'calendar': 'osl',
+    'payment_lag': 0,
+    'currency': 'nok',
+    'convention': 'act360',
+    'leg2_frequency': 'q',
+    'leg2_convention': "act365f",
+    'spread_compound_method': 'none_simple',
+    'fixing_method': "ibor",
+    'method_param': 2,
+    'leg2_spread_compound_method': 'none_simple',
+    'leg2_fixing_method': 'rfr_payment_delay',
+    'leg2_method_param': 0,
+    'curves': ["nibor3", "nowa", "nowa", "nowa"],
+}
+sbs_rfr = [SBS(row.effective, row.termination, **args) for row in data.iloc[1:].itertuples()]
+sbs_rfr_s = [_ for _ in data.loc[1:, "3sRfr Basis"] * -1.0]
+sbs_rfr_lbl = [f"sbs_rfr_{i}" for i in range(1, 25)]
+
+solver1 = Solver(
+    curves=[nowa],
+    instruments=rfr_depo + [IRS(row.effective, row.termination, spec="nok_irs", curves="nowa") for
+                            row in data.iloc[1:].itertuples()],
+    s=rfr_depo_s + [row.RFR for row in data.iloc[1:].itertuples()],
+)
+solver2 = Solver(
+    pre_solvers=[solver1],
+    curves=[nibor3],
+    instruments=ib3_depo + ib3_fra + [
+        IRS(row.effective, row.termination, spec="nok_irs3", curves=["nibor3", "nowa"]) for row in
+        data.iloc[13:].itertuples()],
+    s=ib3_depo_s + ib3_fra_s + [row._4 for row in data.iloc[13:].itertuples()],
+)
+solver3 = Solver(
+    pre_solvers=[solver2],
+    curves=[nibor6],
+    instruments=ib6_depo + [IRS(row.effective, row.termination, spec="nok_irs6", curves=["nibor6", "nowa"]) for row in data.iloc[1:13].itertuples()] + ib6_irs,
+    s = ib6_depo_s + [row._5 for row in data.iloc[1:13].itertuples()] + ib6_irs_s,
+)
+
+fig, ax, line = nibor3.plot("3m", comparators=[nibor6, nowa], labels=["nibor3", "nibor6", "nowa"])
+plt.show()
+plt.close()