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loans

Loan instrument classes for the core domain model.

Classes:

  • AmortizingFixedRateLoan –

    A class representing an amortizing fixed rate loan.

  • CommercialMortgage –

    Represents a commercial mortgage with a fixed interest rate.

  • CreditCard –

    A class to represent credit card instruments.

  • Mortgage –

    Base class for mortgages with a fixed interest rate.

  • PersonalLoan –

    A class to represent personal loan instruments.

  • ResidentialMortgage –

    Represents a residential mortgage with a fixed interest rate.

  • VariableRateLoan –

    Benchmark-indexed variable-rate loan backed by ql.AmortizingFloatingRateBond.

AmortizingFixedRateLoan 

AmortizingFixedRateLoan(
    face_value: float,
    interest_rate: float,
    issue_date: Date,
    maturity: Period,
    frequency: Period = Semiannual,
    settlement_days: int = 0,
    calendar: Calendar = NullCalendar(),
    day_count: DayCounter = Thirty360(BondBasis),
    business_convention: int = Unadjusted,
    book_type: BookType | None = None,
    credit_rating: CreditRating | None = None,
    issuer: Issuer | None = None,
    parent: Instrument | None = None,
    measurement_basis: MeasurementBasis | None = None,
)

Bases: Instrument

A class representing an amortizing fixed rate loan.

Parameters:

  • face_value

    (float) –

    The face value of the instrument.

  • interest_rate

    (float) –

    The interest rate of the instrument.

  • issue_date

    (Date) –

    The issue date of the instrument.

  • maturity

    (Period) –

    The maturity period of the instrument.

  • frequency

    (Period, default: Semiannual ) –

    The frequency of coupon payments. Defaults to ql.Semiannual.

  • settlement_days

    (int, default: 0 ) –

    The number of settlement days. Defaults to 0.

  • calendar

    (Calendar, default: NullCalendar() ) –

    The calendar used for date calculations. Defaults to ql.NullCalendar().

  • day_count

    (DayCounter, default: Thirty360(BondBasis) ) –

    The day count convention used for interest calculations. Defaults to ql.Thirty360(ql.Thirty360.BondBasis).

  • business_convention

    (int, default: Unadjusted ) –

    The business convention used for date adjustments. Defaults to ql.Unadjusted.

  • book_type

    (BookType, default: None ) –

    The book type of the instrument.

  • credit_rating

    (CreditRating, default: None ) –

    The credit rating of the instrument.

  • issuer

    (Issuer, default: None ) –

    The issuer of the instrument.

  • parent

    (Instrument, default: None ) –

    The parent instrument.

  • measurement_basis

    (MeasurementBasis, default: None ) –

    The instrument class.

Methods:

Attributes:

book_type property writable 

book_type: BookType | None

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

face_value property 

face_value: float

Get the face value of the loan.

interest_rate property 

interest_rate: float

Get the interest rate of the loan.

issue_date property 

issue_date: date

Get the issue date of the loan.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

maturity_date property 

maturity_date: date

Get the maturity date of the loan.

parent property writable 

parent: Instrument | None

Get the parent instrument.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

notional 

notional(date: date) -> float

Calculate the notional value of the loan on a given date.

Parameters:

  • date

    (date) –

    The date for which to calculate the notional value.

Returns:

  • float ( float ) –

    The notional value of the loan on the given date.

payment_schedule cached 

payment_schedule() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Calculate the payment schedule for the instrument.

Returns:

  • Tuple ( tuple[list[tuple[date, float]], list[tuple[date, float]], list[tuple[date, float]]] ) –

    A tuple containing three lists: - interest_pmt: A list of tuples representing the date and amount of interest payments. - principal_pmt: A list of tuples representing the date and amount of principal payments. - outstanding: A list of tuples representing the date and outstanding balance after each payment.

repricing_date 

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).

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.

CommercialMortgage 

CommercialMortgage(
    *, frequency: int = Monthly, **kwargs: object
)

Bases: Mortgage

Represents a commercial mortgage with a fixed interest rate.

Methods:

Attributes:

book_type property writable 

book_type: BookType | None

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

face_value property 

face_value: float

Get the face value of the loan.

interest_rate property 

interest_rate: float

Get the interest rate of the loan.

issue_date property 

issue_date: date

Get the issue date of the loan.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

maturity_date property 

maturity_date: date

Get the maturity date of the loan.

parent property writable 

parent: Instrument | None

Get the parent instrument.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

notional 

notional(date: date) -> float

Calculate the notional value of the loan on a given date.

Parameters:

  • date

    (date) –

    The date for which to calculate the notional value.

Returns:

  • float ( float ) –

    The notional value of the loan on the given date.

payment_schedule cached 

payment_schedule() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Calculate the payment schedule for the instrument.

Returns:

  • Tuple ( tuple[list[tuple[date, float]], list[tuple[date, float]], list[tuple[date, float]]] ) –

    A tuple containing three lists: - interest_pmt: A list of tuples representing the date and amount of interest payments. - principal_pmt: A list of tuples representing the date and amount of principal payments. - outstanding: A list of tuples representing the date and outstanding balance after each payment.

repricing_date 

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).

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.

CreditCard 

CreditCard(**kwargs: object)

Bases: Instrument

A class to represent credit card instruments.

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 property writable 

book_type: BookType | None

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

parent property writable 

parent: Instrument | None

Get the parent instrument.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

repricing_date 

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).

Mortgage 

Mortgage(*, frequency: int = Monthly, **kwargs: object)

Bases: AmortizingFixedRateLoan

Base class for mortgages with a fixed interest rate.

Defaults to monthly payments (ql.Monthly), overriding the base class semi-annual default.

Methods:

Attributes:

book_type property writable 

book_type: BookType | None

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

face_value property 

face_value: float

Get the face value of the loan.

interest_rate property 

interest_rate: float

Get the interest rate of the loan.

issue_date property 

issue_date: date

Get the issue date of the loan.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

maturity_date property 

maturity_date: date

Get the maturity date of the loan.

parent property writable 

parent: Instrument | None

Get the parent instrument.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

notional 

notional(date: date) -> float

Calculate the notional value of the loan on a given date.

Parameters:

  • date

    (date) –

    The date for which to calculate the notional value.

Returns:

  • float ( float ) –

    The notional value of the loan on the given date.

payment_schedule cached 

payment_schedule() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Calculate the payment schedule for the instrument.

Returns:

  • Tuple ( tuple[list[tuple[date, float]], list[tuple[date, float]], list[tuple[date, float]]] ) –

    A tuple containing three lists: - interest_pmt: A list of tuples representing the date and amount of interest payments. - principal_pmt: A list of tuples representing the date and amount of principal payments. - outstanding: A list of tuples representing the date and outstanding balance after each payment.

repricing_date 

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).

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.

PersonalLoan 

PersonalLoan(**kwargs: object)

Bases: Instrument

A class to represent personal loan instruments.

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 property writable 

book_type: BookType | None

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

parent property writable 

parent: Instrument | None

Get the parent instrument.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

repricing_date 

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).

ResidentialMortgage 

ResidentialMortgage(
    *, frequency: int = Monthly, **kwargs: object
)

Bases: Mortgage

Represents a residential mortgage with a fixed interest rate.

Methods:

Attributes:

book_type property writable 

book_type: BookType | None

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

face_value property 

face_value: float

Get the face value of the loan.

interest_rate property 

interest_rate: float

Get the interest rate of the loan.

issue_date property 

issue_date: date

Get the issue date of the loan.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

maturity_date property 

maturity_date: date

Get the maturity date of the loan.

parent property writable 

parent: Instrument | None

Get the parent instrument.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

notional 

notional(date: date) -> float

Calculate the notional value of the loan on a given date.

Parameters:

  • date

    (date) –

    The date for which to calculate the notional value.

Returns:

  • float ( float ) –

    The notional value of the loan on the given date.

payment_schedule cached 

payment_schedule() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Calculate the payment schedule for the instrument.

Returns:

  • Tuple ( tuple[list[tuple[date, float]], list[tuple[date, float]], list[tuple[date, float]]] ) –

    A tuple containing three lists: - interest_pmt: A list of tuples representing the date and amount of interest payments. - principal_pmt: A list of tuples representing the date and amount of principal payments. - outstanding: A list of tuples representing the date and outstanding balance after each payment.

repricing_date 

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).

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine.

VariableRateLoan 

VariableRateLoan(
    face_value: float,
    spread: float,
    issue_date: Date,
    maturity: Period,
    ibor_index: IborIndex,
    repricing_frequency: Period | None = None,
    payment_frequency: Period | None = None,
    principal_repayment_mode: PrincipalRepaymentMode = BULLET,
    floor_rate: float | None = None,
    cap_rate: float | None = None,
    benchmark_family: BenchmarkFamily = PRIME,
    settlement_days: int = 0,
    calendar: Calendar | None = None,
    day_count: DayCounter | None = None,
    business_convention: int = ModifiedFollowing,
    book_type: BookType | None = None,
    credit_rating: CreditRating | None = None,
    issuer: Issuer | None = None,
    parent: Instrument | None = None,
    measurement_basis: MeasurementBasis
    | None = AMORTIZED_COST,
)

Bases: Instrument

Benchmark-indexed variable-rate loan backed by ql.AmortizingFloatingRateBond.

Methods:

Attributes:

book_type property writable 

book_type: BookType | None

Get the book type of the instrument.

credit_rating property writable 

credit_rating: CreditRating

Get the instrument's credit rating.

face_value property 

face_value: float

Original face value of the loan.

issue_date property 

issue_date: date

Issue date of the loan.

issuer property writable 

issuer: Issuer

Get the instrument's issuer.

maturity_date property 

maturity_date: date

Maturity date of the loan.

parent property writable 

parent: Instrument | None

Get the parent instrument.

accept 

accept(visitor: Visitor) -> None

Accept a visitor.

is_composite 

is_composite() -> bool

Check if the instrument is composite.

notional 

notional(date: date) -> float

Outstanding notional as of date.

payment_schedule 

payment_schedule() -> (
    tuple[
        list[tuple[date, float]],
        list[tuple[date, float]],
        list[tuple[date, float]],
    ]
)

Interest, principal, and outstanding schedules from QL cashflows.

Interest amounts for future coupons may be unavailable if the index's forwarding curve is not yet linked; those coupons are skipped. Principal/redemption cashflows are always deterministic.

repricing_date 

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).

set_pricing_engine 

set_pricing_engine(engine: PricingEngine) -> None

Set the pricing engine for NPV calculations.