valuation

Contain valuation visitor classes for banking and trading books.

Classes:

• BankingBookValuationVisitor –

  A visitor for banking book valuation.

• TradingBookValuationVisitor –

  A visitor for trading book valuation.

• ValuationVisitor –

  Abstract base class for valuation visitors.

BankingBookValuationVisitor

BankingBookValuationVisitor(
    market_state: MarketState,
    *,
    valuation_date: date | None = None,
)

Bases: ValuationVisitor

A visitor for banking book valuation.

Methods:

• banking_book_only –

  Skip instruments not in the banking book.

• set_date –

  Set the valuation date and relink the term structure from the MarketState.

• visit_amortizing_fixed_rate_loan –

  Value an amortizing fixed rate loan.

• visit_cash –

  Value cash — no pricing required.

• visit_common_equity –

  Value common equity — no pricing required.

• visit_covered_bond –

  Value a covered bond.

• visit_credit_card –

  Value a credit card.

• visit_deposit –

  Value deposit — no pricing required.

• visit_fixed_rate_bond –

  Value a fixed rate bond.

• visit_personal_loan –

  Value a personal loan.

• visit_variable_rate_loan –

  Value a variable rate loan — delegates to the same amortizing-loan path.

banking_book_only staticmethod

banking_book_only(method)

Skip instruments not in the banking book.

set_date

set_date(date: date) -> None

Set the valuation date and relink the term structure from the MarketState.

visit_amortizing_fixed_rate_loan

visit_amortizing_fixed_rate_loan(
    instrument: AmortizingFixedRateLoan,
) -> None

Value an amortizing fixed rate loan.

visit_cash

visit_cash(instrument: Cash) -> None

Value cash — no pricing required.

visit_common_equity

visit_common_equity(instrument: CommonEquity) -> None

Value common equity — no pricing required.

visit_covered_bond

visit_covered_bond(instrument: CoveredBond) -> None

Value a covered bond.

visit_credit_card

visit_credit_card(instrument: CreditCard) -> None

Value a credit card.

visit_deposit

visit_deposit(instrument: Deposit) -> None

Value deposit — no pricing required.

visit_fixed_rate_bond

visit_fixed_rate_bond(instrument: FixedRateBond) -> None

Value a fixed rate bond.

visit_personal_loan

visit_personal_loan(instrument: PersonalLoan) -> None

Value a personal loan.

visit_variable_rate_loan

visit_variable_rate_loan(
    instrument: VariableRateLoan,
) -> None

Value a variable rate loan — delegates to the same amortizing-loan path.

TradingBookValuationVisitor

TradingBookValuationVisitor(
    market_state: MarketState,
    *,
    valuation_date: date | None = None,
)

Bases: ValuationVisitor

A visitor for trading book valuation.

Methods:

• set_date –

  Set the valuation date and relink the term structure from the MarketState.

• trading_book_only –

  Skip instruments not in the trading book.

• visit_amortizing_fixed_rate_loan –

  Value an amortizing fixed rate loan.

• visit_cash –

  Value cash — no pricing required.

• visit_common_equity –

  Value common equity — no pricing required.

• visit_covered_bond –

  Value a covered bond.

• visit_credit_card –

  Value a credit card.

• visit_deposit –

  Value deposit — no pricing required.

• visit_fixed_rate_bond –

  Value a fixed rate bond.

• visit_personal_loan –

  Value a personal loan.

• visit_variable_rate_loan –

  Value a variable rate loan — delegates to the same amortizing-loan path.

set_date

set_date(date: date) -> None

Set the valuation date and relink the term structure from the MarketState.

trading_book_only staticmethod

trading_book_only(method)

Skip instruments not in the trading book.

visit_amortizing_fixed_rate_loan

visit_amortizing_fixed_rate_loan(
    instrument: AmortizingFixedRateLoan,
) -> None

Value an amortizing fixed rate loan.

visit_cash

visit_cash(instrument: Cash) -> None

Value cash — no pricing required.

visit_common_equity

visit_common_equity(instrument: CommonEquity) -> None

Value common equity — no pricing required.

visit_covered_bond

visit_covered_bond(instrument: CoveredBond) -> None

Value a covered bond.

visit_credit_card

visit_credit_card(instrument: CreditCard) -> None

Value a credit card.

visit_deposit

visit_deposit(instrument: Deposit) -> None

Value deposit — no pricing required.

visit_fixed_rate_bond

visit_fixed_rate_bond(instrument: FixedRateBond) -> None

Value a fixed rate bond.

visit_personal_loan

visit_personal_loan(instrument: PersonalLoan) -> None

Value a personal loan.

visit_variable_rate_loan

visit_variable_rate_loan(
    instrument: VariableRateLoan,
) -> None

Value a variable rate loan — delegates to the same amortizing-loan path.

ValuationVisitor

ValuationVisitor(
    market_state: MarketState,
    *,
    valuation_date: date | None = None,
)

Bases: Visitor

Abstract base class for valuation visitors.

Methods:

• set_date –

  Set the valuation date and relink the term structure from the MarketState.

• visit_amortizing_fixed_rate_loan –

  Value an amortizing fixed rate loan.

• visit_cash –

  Value cash — no pricing required.

• visit_common_equity –

  Value common equity — no pricing required.

• visit_covered_bond –

  Value a covered bond.

• visit_credit_card –

  Value a credit card.

• visit_deposit –

  Value deposit — no pricing required.

• visit_fixed_rate_bond –

  Value a fixed rate bond.

• visit_personal_loan –

  Value a personal loan.

• visit_variable_rate_loan –

  Value a variable rate loan — delegates to the same amortizing-loan path.

set_date

set_date(date: date) -> None

Set the valuation date and relink the term structure from the MarketState.

visit_amortizing_fixed_rate_loan abstractmethod

visit_amortizing_fixed_rate_loan(
    instrument: AmortizingFixedRateLoan,
) -> None

Value an amortizing fixed rate loan.

visit_cash

visit_cash(instrument: Cash) -> None

Value cash — no pricing required.

visit_common_equity

visit_common_equity(instrument: CommonEquity) -> None

Value common equity — no pricing required.

visit_covered_bond abstractmethod

visit_covered_bond(instrument: CoveredBond) -> None

Value a covered bond.

visit_credit_card abstractmethod

visit_credit_card(instrument: CreditCard) -> None

Value a credit card.

visit_deposit

visit_deposit(instrument: Deposit) -> None

Value deposit — no pricing required.

visit_fixed_rate_bond abstractmethod

visit_fixed_rate_bond(instrument: FixedRateBond) -> None

Value a fixed rate bond.

visit_personal_loan abstractmethod

visit_personal_loan(instrument: PersonalLoan) -> None

Value a personal loan.

visit_variable_rate_loan

visit_variable_rate_loan(
    instrument: VariableRateLoan,
) -> None

Value a variable rate loan — delegates to the same amortizing-loan path.