ENH: add XCS component (#157) (#1081)

Author: attack68

python/rateslib/instruments/components/__init__.py

@@ -10,11 +10,13 @@
 from rateslib.instruments.components.spread import Spread
 from rateslib.instruments.components.stir_future import STIRFuture
 from rateslib.instruments.components.value import Value
+from rateslib.instruments.components.xcs import XCS
 from rateslib.instruments.components.zcis import ZCIS
 from rateslib.instruments.components.zcs import ZCS
 
 __all__ = [
     "IRS",
+    "XCS",
     "STIRFuture",
     "ZCS",
     "ZCIS",

python/rateslib/instruments/components/iirs.py

@@ -231,23 +231,23 @@ def rate(
             forward=forward,
         )
 
-        self.leg1.fixed_rate = 0.0
-        leg1_npv: DualTypes = self.leg1.local_npv(
-            rate_curve=NoInput(0),
-            disc_curve=_get_maybe_curve_maybe_from_solver(
-                self.kwargs.meta["curves"], _curves, "disc_curve", solver
-            ),
-            index_curve=_get_maybe_curve_maybe_from_solver(
-                self.kwargs.meta["curves"], _curves, "index_curve", solver
-            ),
-            settlement=settlement,
-            forward=forward,
-        )
-        self.leg1.fixed_rate = self.kwargs.leg1["fixed_rate"]
+        # self.leg1.fixed_rate = 0.0
+        # leg1_npv: DualTypes = self.leg1.local_npv(
+        #     rate_curve=NoInput(0),
+        #     disc_curve=_get_maybe_curve_maybe_from_solver(
+        #         self.kwargs.meta["curves"], _curves, "disc_curve", solver
+        #     ),
+        #     index_curve=_get_maybe_curve_maybe_from_solver(
+        #         self.kwargs.meta["curves"], _curves, "index_curve", solver
+        #     ),
+        #     settlement=settlement,
+        #     forward=forward,
+        # )
+        # self.leg1.fixed_rate = self.kwargs.leg1["fixed_rate"]
 
         return (
             self.leg1.spread(
-                target_npv=-leg2_npv - leg1_npv,
+                target_npv=-leg2_npv,  # - leg1_npv,
                 rate_curve=NoInput(0),
                 disc_curve=_get_maybe_curve_maybe_from_solver(
                     self.kwargs.meta["curves"], _curves, "disc_curve", solver

python/rateslib/instruments/components/ndf.py

@@ -4,6 +4,7 @@
 from typing import TYPE_CHECKING
 
 from rateslib import defaults
+from rateslib.dual.utils import _dual_float
 from rateslib.enums.generics import NoInput, _drb
 from rateslib.instruments.components.protocols import _BaseInstrument
 from rateslib.instruments.components.protocols.kwargs import _KWArgs
@@ -382,7 +383,7 @@ def _set_pricing_mid(
         if isinstance(self.kwargs.leg1["fx_rate"], NoInput):
             # determine the mid-market FX rate and set the notional of leg2
             mid_market_rate = self.rate(fx=fx, solver=solver)
-            self.leg2.periods[0].settlement_params._notional = (
+            self.leg2.periods[0].settlement_params._notional = _dual_float(
                 -mid_market_rate * self.leg1.periods[0].settlement_params.notional
             )