def _setup_leg(start_date, end_date, discount_curve_type, leg, schedule_fn,
schedule, past_fixing):
"""Setup swap legs."""
if isinstance(leg, coupon_specs.FixedCouponSpecs):
return cashflow_streams.FixedCashflowStream(
start_date=start_date,
end_date=end_date,
coupon_spec=leg,
schedule_fn=schedule_fn,
schedule=schedule,
discount_curve_type=discount_curve_type,
dtype=tf.float64)
elif isinstance(leg, coupon_specs.FloatCouponSpecs):
return cashflow_streams.FloatingCashflowStream(
start_date=start_date,
end_date=end_date,
coupon_spec=leg,
schedule_fn=schedule_fn,
schedule=schedule,
discount_curve_type=discount_curve_type,
past_fixing=past_fixing,
dtype=tf.float64)
elif isinstance(leg, dict):
coupon_spec = leg["coupon_spec"]
if "fixed_rate" in coupon_spec:
coupon_spec = coupon_specs.FixedCouponSpecs(**coupon_spec)
return cashflow_streams.FixedCashflowStream(
start_date=start_date,
end_date=end_date,
schedule_fn=schedule_fn,
schedule=schedule,
coupon_spec=coupon_spec,
discount_curve_type=leg["discount_curve_type"],
discount_curve_mask=leg["discount_curve_mask"],
dtype=tf.float64)
else:
coupon_spec = coupon_specs.FloatCouponSpecs(**coupon_spec)
return cashflow_streams.FloatingCashflowStream(
start_date=start_date,
end_date=end_date,
schedule_fn=schedule_fn,
schedule=schedule,
coupon_spec=coupon_spec,
discount_curve_type=leg["discount_curve_type"],
discount_curve_mask=leg["discount_curve_mask"],
reference_mask=leg["reference_mask"],
rate_index_curves=leg["rate_index_curves"],
past_fixing=past_fixing,
dtype=tf.float64)
else:
raise ValueError(f"Unknown leg type {type(leg)}")
def _setup_leg(
self, leg: Union[coupon_specs.FixedCouponSpecs,
coupon_specs.FloatCouponSpecs]
) -> Union[cashflow_streams.FixedCashflowStream,
cashflow_streams.FloatingCashflowStream]:
"""Setup swap legs."""
if isinstance(leg, coupon_specs.FixedCouponSpecs):
return cashflow_streams.FixedCashflowStream(
start_date=self._start_date,
end_date=self._maturity_date,
coupon_spec=leg,
discount_curve_type=self._discount_curve_type,
dtype=self._dtype)
elif isinstance(leg, coupon_specs.FloatCouponSpecs):
return cashflow_streams.FloatingCashflowStream(
start_date=self._start_date,
end_date=self._maturity_date,
coupon_spec=leg,
discount_curve_type=self._discount_curve_type,
dtype=self._dtype)
else:
raise ValueError(f"Unknown leg type {type(leg)}")