derivitec.tradables.types.Tranche

class derivitec.tradables.types.Tranche(tranche_id=None, attachment=None, detachment=None, payment_dates=None, next_payment_index=None, dated_date=None, currency=None, rate_asset_name=None, spread=None, day_count_convention=None, amortisation_start_date=None, tranche_amortisation_type=None, senior_factor=None, tranche_factor=None, junior_factor=None, identifier=None, **kwargs)

__init__(tranche_id=None, attachment=None, detachment=None, payment_dates=None, next_payment_index=None, dated_date=None, currency=None, rate_asset_name=None, spread=None, day_count_convention=None, amortisation_start_date=None, tranche_amortisation_type=None, senior_factor=None, tranche_factor=None, junior_factor=None, identifier=None, **kwargs)

Parameters:

• tranche_id – Identifier for the tranche

• attachment – Attachment point

• detachment – Detachment point

• payment_dates – List of scheduled payment dates

• next_payment_index – Index of the next payment date in payment_dates

• dated_date – The date on which the tranche becomes effective

• currency – Currency in which the tranche is denominated

• rate_asset_name – Name of the benchmark rate or rate asset

• spread – Spread over the benchmark rate

• day_count_convention – Day count convention used for interest calculation

• amortisation_start_date – Start date for amortisation

• tranche_amortisation_type – Amortisation type (pro rata or sequential)

• senior_factor – The senior factor

• tranche_factor – The tranche factor

• junior_factor – The junior factor

Methods

IsKeyValuePairListType(key_class_instance, ...)
__init__([tranche_id, attachment, ...])
json_params()	JSON param names.
rebuild(content)	Recursive rebuild.
recursive_decompose(item)	Helper function to recursively convert some types to a suitable format for json.
to_dict()
typename()