The most recent content from our members.
I used to be able to price an IRS like this: def get_thb_legs(fixed_rate_pct:float=None, floating_spread_bps:float=None, receive_fixed:bool=True, notional_amount:float=100): fixed_dir, float_dir = ('Received', 'Paid') if receive_fixed else ('Paid', 'Received') fixed_leg = { 'legTag':'Fixed', 'direction':fixed_dir,…
It looks like you're new here. Sign in or register to get started.
