Base classes and enumerations for financial instruments in the core domain model.
Classes:
-
BalanceSheetCategory–Enumeration for the category of the balance sheet an instrument is on.
-
BookType–Enumeration for different types of books.
-
CompositeInstrument–Composite class for financial instruments.
-
CreditRating–Enumeration of S&P credit ratings.
-
Instrument–Abstract base class for financial instruments.
-
Issuer–Class representing an issuer of financial instruments.
-
IssuerType–Enumeration of issuer types.
Bases: Enum
Enumeration for the category of the balance sheet an instrument is on.
Bases: Enum
Enumeration for different types of books.
Before a bank can calculate RWA for credit risk and RWA for market risk, it must follow the requirements of RBC25 to identify the instruments that are in the trading book. The banking book comprises all instruments that are not in the trading book and all other assets of the bank.
CompositeInstrument(
name: str = "",
book_type: BookType | None = None,
credit_rating: CreditRating | None = None,
issuer: Issuer | None = None,
parent: Instrument | None = None,
)
Bases: Instrument
Composite class for financial instruments.
This class allows for the aggregation of multiple financial instruments into a single composite instrument. It can be used to represent a collection of assets, liabilities, or equities for a bank.
Methods:
-
accept–Accept a visitor by delegating to all contained instruments.
-
add–Add an instrument to the composite.
-
is_composite–Check if the instrument is composite.
-
remove–Remove an instrument from the composite.
-
repricing_date–Return the next repricing date for variable-rate instruments.
Attributes:
-
book_type(BookType | None) –Get the book type of the instrument.
-
credit_rating(CreditRating) –Get the instrument's credit rating.
-
issuer(Issuer) –Get the instrument's issuer.
-
parent(Instrument | None) –Get the parent instrument.
accept(visitor: Visitor) -> None
Accept a visitor by delegating to all contained instruments.
is_composite() -> bool
Check if the instrument is composite.
repricing_date(as_of: date) -> date | None
Return the next repricing date for variable-rate instruments.
Returns None for fixed-rate instruments (repricing_frequency is None).
Bases: Enum
Enumeration of S&P credit ratings.
Methods:
-
is_investment_grade–Check if the credit rating is investment grade.
-
to_str–Get a custom string representation of the credit rating.
is_investment_grade() -> bool
Check if the credit rating is investment grade.
to_str() -> str
Get a custom string representation of the credit rating.
Instrument(
name: str = "",
book_type: BookType | None = None,
credit_rating: CreditRating | None = None,
issuer: Issuer | None = None,
parent: Instrument | None = None,
measurement_basis: MeasurementBasis | None = None,
repricing_frequency: Period | None = None,
)
Bases: ABC
Abstract base class for financial instruments.
Subclasses declare applicable_rules — a frozenset of rule classes
that the :class:RuleEngine should evaluate for positions holding this
instrument. The default is an empty set (no rules apply).
Methods:
-
accept–Accept a visitor.
-
is_composite–Check if the instrument is composite.
-
repricing_date–Return the next repricing date for variable-rate instruments.
Attributes:
-
book_type(BookType | None) –Get the book type of the instrument.
-
credit_rating(CreditRating) –Get the instrument's credit rating.
-
issuer(Issuer) –Get the instrument's issuer.
-
parent(Instrument | None) –Get the parent instrument.
is_composite() -> bool
Check if the instrument is composite.
repricing_date(as_of: date) -> date | None
Return the next repricing date for variable-rate instruments.
Returns None for fixed-rate instruments (repricing_frequency is None).
Issuer(
name: str,
issuer_type: IssuerType,
credit_rating: CreditRating | None = None,
)
Class representing an issuer of financial instruments.
Methods:
-
is_bank–Check if the issuer is depositary institution or bank.
-
is_corporate–Check if the issuer is corporate.
-
is_individual–Check if the issuer is individual.
-
is_mdb–Check if the issuer is multilateral development bank (MDB).
-
is_pse–Check if the issuer is public sector entity (PSE).
-
is_securities_firm–Check if the issuer is securities firm.
-
is_sme–Check if the issuer is SME corporate.
-
is_sovereign–Check if the issuer is sovereign.
Attributes:
-
credit_rating(CreditRating) –Get the issuer's credit rating.
is_bank() -> bool
Check if the issuer is depositary institution or bank.
is_corporate() -> bool
Check if the issuer is corporate.
is_individual() -> bool
Check if the issuer is individual.
is_mdb() -> bool
Check if the issuer is multilateral development bank (MDB).
is_pse() -> bool
Check if the issuer is public sector entity (PSE).
is_securities_firm() -> bool
Check if the issuer is securities firm.
is_sme() -> bool
Check if the issuer is SME corporate.
is_sovereign() -> bool
Check if the issuer is sovereign.
Bases: Flag
Enumeration of issuer types.
Methods:
-
to_str–Get a custom string representation of the issuer type.
to_str() -> str
Get a custom string representation of the issuer type.