ENH: add cashflows_table to _WithCashflows (#160) (#1085)

Co-authored-by: JHM Darbyshire <[email protected]>
Co-authored-by: JHM Darbyshire (M1) <[email protected]>

Author: mikelync

python/rateslib/instruments/components/protocols/cashflows.py

@@ -5,6 +5,7 @@
 
 from pandas import DataFrame, concat, isna
 
+from rateslib import defaults
 from rateslib.enums.generics import NoInput
 from rateslib.instruments.components.protocols.kwargs import _KWArgs
 from rateslib.instruments.components.protocols.pricing import (
@@ -156,3 +157,57 @@ def _cashflows_from_instruments(self, *args: Any, **kwargs: Any) -> DataFrame:
             keys=[f"inst{i}" for i in range(len(self.instruments))],
         )
         return _
+
+    def cashflows_table(
+        self,
+        curves: Curves_ = NoInput(0),
+        solver: Solver_ = NoInput(0),
+        fx: FXForwards_ = NoInput(0),
+        fx_vol: FXVolOption_ = NoInput(0),
+        base: str_ = NoInput(0),
+        settlement: datetime_ = NoInput(0),
+        forward: datetime_ = NoInput(0),
+    ) -> DataFrame:
+        """
+        Aggregate the values derived from a
+        :meth:`~rateslib.instruments.components._BaseInstrument.cashflows`
+        method on a :class:`~rateslib.instruments.components._BaseInstrument`.
+
+        Parameters
+        ----------
+        XXX
+
+        Returns
+        -------
+        DataFrame
+        """
+        cashflows = self.cashflows(
+            curves=curves,
+            solver=solver,
+            fx=fx,
+            fx_vol=fx_vol,
+            base=base,
+            settlement=settlement,
+            forward=forward,
+        )
+        cashflows = cashflows[
+            [
+                defaults.headers["currency"],
+                defaults.headers["collateral"],
+                defaults.headers["payment"],
+                defaults.headers["cashflow"],
+            ]
+        ]
+        _: DataFrame = cashflows.groupby(  # type: ignore[assignment]
+            [
+                defaults.headers["currency"],
+                defaults.headers["collateral"],
+                defaults.headers["payment"],
+            ],
+            dropna=False,
+        )
+        _ = _.sum().unstack([0, 1]).droplevel(0, axis=1)
+        _.columns.names = ["local_ccy", "collateral_ccy"]
+        _.index.names = ["payment"]
+        _ = _.sort_index(ascending=True, axis=0).infer_objects().fillna(0.0)
+        return _

python/tests/instruments/test_instruments_legacy.py

@@ -4736,7 +4736,8 @@ def test_fixings_table_null_inst(self, curve):
         irs = IRS(dt(2022, 1, 15), "6m", spec="eur_irs3", curves=curve)
         frb = FixedRateBond(dt(2022, 1, 1), "5y", "A", fixed_rate=2.0, curves=curve)
         pf = Portfolio([irs, frb])
-        assert isinstance(pf.fixings_table(), DataFrame)
+        table = pf.local_analytic_rate_fixings()
+        assert isinstance(table, DataFrame)
 
 
 class TestFly:
@@ -4906,7 +4907,8 @@ def test_fixings_table_null_inst(self, curve):
         irs = IRS(dt(2022, 1, 15), "6m", spec="eur_irs3", curves=curve)
         frb = FixedRateBond(dt(2022, 1, 1), "5y", "A", fixed_rate=2.0, curves=curve)
         spd = Spread(irs, frb)
-        assert isinstance(spd.fixings_table(), DataFrame)
+        table = spd.local_analytic_rate_fixings()
+        assert isinstance(table, DataFrame)
 
 
 class TestSensitivities:
@@ -5126,6 +5128,8 @@ def test_bill(self) -> None:
         assert bill.kwargs["fixed_rate"] == 0.0
 
     def test_fra(self) -> None:
+        from rateslib.enums.parameters import FloatFixingMethod
+
         fra = FRA(
             effective=dt(2022, 1, 1),
             termination="3m",
@@ -5134,12 +5138,13 @@ def test_fra(self) -> None:
             modifier="F",
             fixed_rate=2.0,
         )
-        assert fra.kwargs["leg2_fixing_method"] == "ibor"
-        assert fra.kwargs["convention"] == "act360"
-        assert fra.kwargs["currency"] == "eur"
-        assert fra.kwargs["fixed_rate"] == 2.0
-        assert fra.kwargs["leg2_schedule"].payment_adjuster == Adjuster.BusDaysLagSettle(5)
-        assert fra.kwargs["leg2_schedule"].modifier == Adjuster.Following()
+        assert fra.kwargs.leg2["fixing_method"] == FloatFixingMethod.IBOR
+        assert fra.kwargs.leg1["convention"] == "act360"
+        assert fra.kwargs.leg1["currency"] == "eur"
+        assert fra.kwargs.leg2["currency"] == "eur"
+        assert fra.kwargs.leg1["fixed_rate"] == 2.0
+        assert fra.kwargs.leg2["schedule"].payment_adjuster == Adjuster.BusDaysLagSettleInAdvance(5)
+        assert fra.kwargs.leg2["schedule"].modifier == Adjuster.Following()
 
     def test_frn(self) -> None:
         frn = FloatRateNote(
@@ -5176,12 +5181,19 @@ def test_xcs(self) -> None:
     ("inst", "expected"),
     [
         (
-            IRS(dt(2022, 1, 1), "9M", "Q", currency="eur", curves=["eureur", "eur_eurusd"]),
+            IRS(
+                dt(2022, 1, 1),
+                "9M",
+                "Q",
+                currency="eur",
+                curves=["eureur", "eur_eurusd"],
+                fixed_rate=4.0,
+            ),
             DataFrame(
-                [-0.21319, -0.00068, 0.21656],
+                data=[-3808.80973, -3850.91496, -3893.01546],
                 index=Index([dt(2022, 4, 3), dt(2022, 7, 3), dt(2022, 10, 3)], name="payment"),
                 columns=MultiIndex.from_tuples(
-                    [("EUR", "usd,eur")],
+                    tuples=[("EUR", "usd,eur")],
                     names=["local_ccy", "collateral_ccy"],
                 ),
             ),
@@ -5196,7 +5208,7 @@ def test_xcs(self) -> None:
                 curves=["eureur", "eurusd", "eureur"],
             ),
             DataFrame(
-                [-0.51899, -6260.7208, 6299.28759],
+                [-0.00, -6260.19615, 6299.81823],
                 index=Index([dt(2022, 4, 3), dt(2022, 7, 3), dt(2022, 10, 3)], name="payment"),
                 columns=MultiIndex.from_tuples(
                     [("EUR", "usd")],
@@ -5205,9 +5217,16 @@ def test_xcs(self) -> None:
             ),
         ),
         (
-            FRA(dt(2022, 1, 15), "3M", "Q", currency="eur", curves=["eureur", "eureur"]),
+            FRA(
+                dt(2022, 1, 15),
+                "3M",
+                "Q",
+                currency="eur",
+                curves=["eureur", "eureur"],
+                fixed_rate=4.0,
+            ),
             DataFrame(
-                [0],
+                [-16091.56434],
                 index=Index([dt(2022, 1, 15)], name="payment"),
                 columns=MultiIndex.from_tuples(
                     [("EUR", "eur")],
@@ -5237,17 +5256,18 @@ def test_xcs(self) -> None:
                 "M",
                 currency="eur",
                 leg2_currency="usd",
+                leg2_mtm=True,
                 curves=["eureur", "eurusd", "usdusd", "usdusd"],
             ),
             DataFrame(
                 [
-                    [1000000.0, -1100306.44592],
-                    [0.0, -2377.85237],
-                    [-2042.44624, 4630.97800],
-                    [0.0, -2152.15417],
-                    [-1844.59236, 4191.00589],
-                    [-1000000, 1104836.45246],
-                    [-2042.44624, 4650.04393],
+                    [1000000.0, -1100306.44743],
+                    [0.0, -2377.86409],
+                    [-2128.20822, 4630.97804],
+                    [0.0, -2152.16480],
+                    [-1922.05479, 4191.00596],
+                    [-1000000, 1104836.47633],
+                    [-2128.20822, 4650.04405],
                 ],
                 index=Index(
                     [
@@ -5275,7 +5295,7 @@ def test_xcs(self) -> None:
                 curves=["eureur", "eurusd", "usdusd", "usdusd"],
             ),
             DataFrame(
-                [[1000000.0, -1100306.44592], [-1005943.73163, 1113805.13741]],
+                [[-1000000.0, 1100306.44743], [1000000.0, -1107224.13024]],
                 index=Index([dt(2022, 1, 5), dt(2022, 4, 5)], name="payment"),
                 columns=MultiIndex.from_tuples(
                     [("EUR", "usd"), ("USD", "usd")],

python/tests/scheduling/test_schedulers.py

@@ -91,3 +91,18 @@ def test_single_period_schedule2():
     from rateslib import IRS
 
     IRS(dt(2022, 7, 1), "3M", "A", curves="eureur", notional=1e6)
+
+
+@pytest.mark.parametrize(
+    ("a", "b", "expected"),
+    [
+        (Adjuster.ModifiedFollowing(), Adjuster.ModifiedFollowing(), True),
+        (Adjuster.Following(), Adjuster.ModifiedFollowing(), False),
+        (Adjuster.BusDaysLagSettleInAdvance(3), Adjuster.BusDaysLagSettleInAdvance(3), True),
+        (Adjuster.BusDaysLagSettleInAdvance(3), Adjuster.Following(), False),
+        (Adjuster.BusDaysLagSettle(2), Adjuster.BusDaysLagSettle(1), False),
+    ],
+)
+def test_adjuster_equality(a, b, expected):
+    result = a == b
+    assert result is expected

rust/scheduling/calendars/adjuster.rs

@@ -250,6 +250,13 @@ mod tests {
         Cal::new(hols, vec![5, 6])
     }
 
+    #[test]
+    fn test_equality() {
+        assert_eq!(Adjuster::Following {}, Adjuster::Following {});
+        assert_eq!(Adjuster::BusDaysLagSettle(3), Adjuster::BusDaysLagSettle(3));
+        assert_ne!(Adjuster::BusDaysLagSettle(3), Adjuster::BusDaysLagSettle(5));
+    }
+
     #[test]
     fn test_adjusts() {
         let cal = fixture_hol_cal();