ENH: add new component Instruments: IRS and CDS (#145) (#1066)

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

Author: attack68

python/rateslib/__init__.py

@@ -207,7 +207,7 @@ def __exit__(self, *args) -> None:  # type: ignore[no-untyped-def]
     "ProxyCurve",
     "index_left",
     "index_value",
-    # # fixings.py  cannot load due to circular import
+    # # analytic_fixings.py  cannot load due to circular import
     # "FXFixing",
     # "IBORFixing",
     # "IBORStubFixing",

python/rateslib/curves/_parsers.py

@@ -390,3 +390,56 @@ def _to_six_curve_dict(
             disc2=curves,
             index2=NoInput(0),
         )
+
+
+class _Curves:
+    """
+    Container for a pricing object providing a mapping for curves.
+    """
+
+    def __init__(
+        self,
+        *,
+        rate_curve: CurveOption_ = NoInput(0),
+        disc_curve: CurveOption_ = NoInput(0),
+        index_curve: CurveOption_ = NoInput(0),
+        leg2_rate_curve: CurveOption_ = NoInput(0),
+        leg2_disc_curve: CurveOption_ = NoInput(0),
+        leg2_index_curve: CurveOption_ = NoInput(0),
+    ):
+        self._rate_curve = rate_curve
+        self._disc_curve = disc_curve
+        self._index_curve = index_curve
+        self._leg2_rate_curve = leg2_rate_curve
+        self._leg2_disc_curve = leg2_disc_curve
+        self._leg2_index_curve = leg2_index_curve
+
+    @property
+    def rate_curve(self) -> CurveOption_:
+        """The curve used for floating rate or hazard rate forecasting on leg1."""
+        return self._rate_curve
+
+    @property
+    def disc_curve(self) -> CurveOption_:
+        """The curve used for discounting on leg1."""
+        return self._disc_curve
+
+    @property
+    def index_curve(self) -> CurveOption_:
+        """The index curve used for forecasting index values on leg1."""
+        return self._index_curve
+
+    @property
+    def leg2_rate_curve(self) -> CurveOption_:
+        """The curve used for floating rate or hazard rate forecasting on leg2."""
+        return self._leg2_rate_curve
+
+    @property
+    def leg2_disc_curve(self) -> CurveOption_:
+        """The curve used for discounting on leg2."""
+        return self._leg2_disc_curve
+
+    @property
+    def leg2_index_curve(self) -> CurveOption_:
+        """The index curve used for forecasting index values on leg2."""
+        return self._leg2_index_curve

python/rateslib/instruments/components/__init__.py

@@ -0,0 +1,7 @@
+from rateslib.instruments.components.cds import CDS
+from rateslib.instruments.components.irs import IRS
+
+__all__ = [
+    "IRS",
+    "CDS",
+]