nordea_analytics.key_figure_names

Module Contents

Classes

BondKeyFigureName	Bond key figure names available in the service.
TimeSeriesKeyFigureName	Time series key figure names available in the service.
CalculatedBondKeyFigureName	Bond key figure names that can be calculated in the service.
HorizonCalculatedBondKeyFigureName	Bond key figure names that can be horizon calculated in the service.
CalculatedRepoBondKeyFigureName	Repo Bond key figure names that can be calculated in the service.
LiveBondKeyFigureName	Bond key figure names available live in the service.
SwapKeyFigureName	Swap key figure names that can be calculated in the service.
SwapHorizonKeyFigureName	Swap horizon key figure names that can be calculated in the service.

class nordea_analytics.key_figure_names.BondKeyFigureName(*args, **kwds)

Bases: enum.Enum

Bond key figure names available in the service.

AccruedInterest = 'accint'

AssetSwapSpread = 'asw'

BPV = 'bpvp'

BPV10Y = 'bpv10y'

BPV15Y = 'bpv15y'

BPV1Y = 'bpv1y'

BPV20Y = 'bpv20y'

BPV25Y = 'bpv25y'

BPV2Y = 'bpv2y'

BPV30Y = 'bpv30y'

BPV3M = 'bpv3m'

BPV5Y = 'bpv5y'

BPV6M = 'bpv6m'

BPV7Y = 'bpv7y'

Coupon = 'coupon'

CVX = 'cvxp'

EmpiricalBPV2Y = 'emp_bpv_2y'

EmpiricalBPV2Y_5 = 'emp_bpv_2y(5)'

EmpiricalBPV2Y_10 = 'emp_bpv_2y(10)'

EmpiricalBPV2Y_20 = 'emp_bpv_2y(20)'

EmpiricalBPV2Y_60 = 'emp_bpv_2y(60)'

EmpiricalBPV2Y_120 = 'emp_bpv_2y(120)'

EmpiricalBPV10Y = 'emp_bpv_10y'

EmpiricalBPV10Y_5 = 'emp_bpv_10y(5)'

EmpiricalBPV10Y_10 = 'emp_bpv_10y(10)'

EmpiricalBPV10Y_20 = 'emp_bpv_10y(20)'

EmpiricalBPV10Y_60 = 'emp_bpv_10y(60)'

EmpiricalBPV10Y_120 = 'emp_bpv_10y(120)'

FWDuration_Deterministic = 'fwduration'

GovSpread = 'gov_spread'

HistoricalCapitalGain = 'dd_princ'

HistoricalReturn = 'dd_total'

HistoricalReturnAccumulated = 'dd_total_acc'

HorizonReturn12M = 'return12m'

HorizonReturn12M100 = 'return12m100'

HorizonReturn12M25 = 'return12m25'

HorizonReturn12M50 = 'return12m50'

HorizonReturn12M75 = 'return12m75'

HorizonReturn12Mm100 = 'return12m-100'

HorizonReturn12Mm25 = 'return12m-25'

HorizonReturn12Mm50 = 'return12m-50'

HorizonReturn12Mm75 = 'return12m-75'

HorizonReturn3M = 'return3m'

HorizonReturn3M50 = 'return3m50'

HorizonReturn3Mm50 = 'return3m-50'

HorizonReturn6M = 'return6m'

HorizonReturn6M50 = 'return6m50'

HorizonReturn6Mm50 = 'return6m-50'

HorizonReturnCapital12M = 'capital12m'

HorizonReturnCapital12M100 = 'capital12m100'

HorizonReturnCapital12M25 = 'capital12m25'

HorizonReturnCapital12M50 = 'capital12m50'

HorizonReturnCapital12M75 = 'capital12m75'

HorizonReturnCapital12Mm100 = 'capital12m-100'

HorizonReturnCapital12Mm25 = 'capital12m-25'

HorizonReturnCapital12Mm50 = 'capital12m-50'

HorizonReturnCapital12Mm75 = 'capital12m-75'

HorizonReturnCapital3M = 'capital3m'

HorizonReturnCapital3M50 = 'capital3m50'

HorizonReturnCapital3Mm50 = 'capital3m-50'

HorizonReturnCapital6M = 'capital6m'

HorizonReturnCapital6M50 = 'capital6m50'

HorizonReturnCapital6Mm50 = 'capital6m-50'

HorizonReturnInterest12M = 'interest12m'

HorizonReturnInterest12M100 = 'interest12m100'

HorizonReturnInterest12M25 = 'interest12m25'

HorizonReturnInterest12M50 = 'interest12m50'

HorizonReturnInterest12M75 = 'interest12m75'

HorizonReturnInterest12Mm100 = 'interest12m-100'

HorizonReturnInterest12Mm25 = 'interest12m-25'

HorizonReturnInterest12Mm50 = 'interest12m-50'

HorizonReturnInterest12Mm75 = 'interest12m-75'

HorizonReturnInterest3M = 'interest3m'

HorizonReturnInterest3M50 = 'interest3m50'

HorizonReturnInterest3Mm50 = 'interest3m-50'

HorizonReturnInterest6M = 'interest6m'

HorizonReturnInterest6M50 = 'interest6m50'

HorizonReturnInterest6Mm50 = 'interest6m-50'

IndexValue = 'index value'

LiborSpread3M = 'libor_3m_spread'

LiborSpreadMci = 'libor_mci_spread'

LiborSpread = 'libor_spread'

MacauleyDuration_Deterministic = 'macauley_duration'

MaxOutstandingAmount = 'max_outstanding_amount'

ModifiedDuration_Deterministic = 'modduration'

OALife = 'oalife'

OAModifiedDuration = 'modified_bpv'

OAS_GOV = 'govoas'

OAS_OIS = 'oas'

OASRisk = 'oasrisk'

OATheta = 'oatheta'

OAYield = 'oayield'

OutstandingAmount = 'outstanding_amount'

OutstandingAmountCorrected = 'corrected_outstanding_amount'

PaymentScheduled = 'schedpayment'

PaymentTotal = 'totpayment'

PaymentTotalAmount = 'totpaymentamt'

PrePayment = 'prepublished_prepayment'

PrePaymentPercentage = 'prepayment'

PrePaymentPreliminary = 'prelimprepayment'

PrePaymentPreliminaryPercentage = 'ppp'

PresentValue = 'present_value'

PriceClean = 'clean_price'

PriceDirty = 'present_value'

PriceKF = 'official_price'

Pricem100 = 'pm100'

Pricem200 = 'pm200'

Pricem50 = 'pm50'

Pricep100 = 'pp100'

Pricep200 = 'pp200'

Pricep50 = 'pp50'

PriceSpread = 'price_spread'

PriceTheoretical = 'theoretical_price'

Quote = 'quote'

QuotedSize = 'quotedsize'

Spread = 'spread'

SpreadRisk = 'spreadrisk'

SwapSpread = 'swap_spread'

Theta = 'theta'

Vega = 'vega'

WAL_Deterministic = 'detwal'

YCS_3M = 'libor_3m_spread'

YCS_6M = 'libor_spread'

YCS_GOV = 'govycs'

YCS_OIS = 'ycs'

Yield = 'yield'

class nordea_analytics.key_figure_names.TimeSeriesKeyFigureName(*args, **kwds)

Bases: enum.Enum

Time series key figure names available in the service.

AccruedInterest = 'accint'

AssetSwapSpread = 'asw'

BPV = 'bpvp'

BPV10Y = 'bpv10y'

BPV15Y = 'bpv15y'

BPV1Y = 'bpv1y'

BPV20Y = 'bpv20y'

BPV25Y = 'bpv25y'

BPV2Y = 'bpv2y'

BPV30Y = 'bpv30y'

BPV3M = 'bpv3m'

BPV5Y = 'bpv5y'

BPV6M = 'bpv6m'

BPV7Y = 'bpv7y'

Coupon = 'coupon'

CVX = 'cvxp'

EmpiricalBPV2Y = 'emp_bpv_2y'

EmpiricalBPV2Y_5 = 'emp_bpv_2y(5)'

EmpiricalBPV2Y_10 = 'emp_bpv_2y(10)'

EmpiricalBPV2Y_20 = 'emp_bpv_2y(20)'

EmpiricalBPV2Y_60 = 'emp_bpv_2y(60)'

EmpiricalBPV2Y_120 = 'emp_bpv_2y(120)'

EmpiricalBPV10Y = 'emp_bpv_10y'

EmpiricalBPV10Y_5 = 'emp_bpv_10y(5)'

EmpiricalBPV10Y_10 = 'emp_bpv_10y(10)'

EmpiricalBPV10Y_20 = 'emp_bpv_10y(20)'

EmpiricalBPV10Y_60 = 'emp_bpv_10y(60)'

EmpiricalBPV10Y_120 = 'emp_bpv_10y(120)'

FWDuration_Deterministic = 'fwduration'

GovSpread = 'gov_spread'

HistoricalCapitalGain = 'dd_princ'

HistoricalReturn = 'dd_total'

HistoricalReturnAccumulated = 'dd_total_acc'

HorizonReturn12M = 'return12m'

HorizonReturn12M100 = 'return12m100'

HorizonReturn12M25 = 'return12m25'

HorizonReturn12M50 = 'return12m50'

HorizonReturn12M75 = 'return12m75'

HorizonReturn12Mm100 = 'return12m-100'

HorizonReturn12Mm25 = 'return12m-25'

HorizonReturn12Mm50 = 'return12m-50'

HorizonReturn12Mm75 = 'return12m-75'

HorizonReturn3M = 'return3m'

HorizonReturn3M50 = 'return3m50'

HorizonReturn3Mm50 = 'return3m-50'

HorizonReturn6M = 'return6m'

HorizonReturn6M50 = 'return6m50'

HorizonReturn6Mm50 = 'return6m-50'

HorizonReturnCapital12M = 'capital12m'

HorizonReturnCapital12M100 = 'capital12m100'

HorizonReturnCapital12M25 = 'capital12m25'

HorizonReturnCapital12M50 = 'capital12m50'

HorizonReturnCapital12M75 = 'capital12m75'

HorizonReturnCapital12Mm100 = 'capital12m-100'

HorizonReturnCapital12Mm25 = 'capital12m-25'

HorizonReturnCapital12Mm50 = 'capital12m-50'

HorizonReturnCapital12Mm75 = 'capital12m-75'

HorizonReturnCapital3M = 'capital3m'

HorizonReturnCapital3M50 = 'capital3m50'

HorizonReturnCapital3Mm50 = 'capital3m-50'

HorizonReturnCapital6M = 'capital6m'

HorizonReturnCapital6M50 = 'capital6m50'

HorizonReturnCapital6Mm50 = 'capital6m-50'

HorizonReturnInterest12M = 'interest12m'

HorizonReturnInterest12M100 = 'interest12m100'

HorizonReturnInterest12M25 = 'interest12m25'

HorizonReturnInterest12M50 = 'interest12m50'

HorizonReturnInterest12M75 = 'interest12m75'

HorizonReturnInterest12Mm100 = 'interest12m-100'

HorizonReturnInterest12Mm25 = 'interest12m-25'

HorizonReturnInterest12Mm50 = 'interest12m-50'

HorizonReturnInterest12Mm75 = 'interest12m-75'

HorizonReturnInterest3M = 'interest3m'

HorizonReturnInterest3M50 = 'interest3m50'

HorizonReturnInterest3Mm50 = 'interest3m-50'

HorizonReturnInterest6M = 'interest6m'

HorizonReturnInterest6M50 = 'interest6m50'

HorizonReturnInterest6Mm50 = 'interest6m-50'

IndexValue = 'index value'

LiborSpread3M = 'libor_3m_spread'

LiborSpreadMci = 'libor_mci_spread'

LiborSpread = 'libor_spread'

MacauleyDuration_Deterministic = 'macauley_duration'

MaxOutstandingAmount = 'max_outstanding_amount'

ModifiedDuration_Deterministic = 'modduration'

OALife = 'oalife'

OAModifiedDuration = 'modified_bpv'

OAS_GOV = 'govoas'

OAS_OIS = 'oas'

OASRisk = 'oasrisk'

OATheta = 'oatheta'

OAYield = 'oayield'

OutstandingAmount = 'outstanding_amount'

OutstandingAmountCorrected = 'corrected_outstanding_amount'

PaymentScheduled = 'schedpayment'

PaymentTotal = 'totpaymentamt'

PaymentTotalPercentage = 'totpayment'

PrePayment = 'prepublished_prepayment'

PrePaymentPercentage = 'prepayment'

PrePaymentPreliminary = 'prelimprepayment'

PrePaymentPreliminaryPercentage = 'ppp'

PresentValue = 'present_value'

PriceClean = 'price'

PriceDirty = 'present_value'

PriceKF = 'official_price'

Pricem100 = 'pm100'

Pricem200 = 'pm200'

Pricem300 = 'pm300'

Pricem400 = 'pm400'

Pricem50 = 'pm50'

Pricep100 = 'pp100'

Pricep200 = 'pp200'

Pricep300 = 'pp300'

Pricep400 = 'pp400'

Pricep50 = 'pp50'

PriceSpread = 'price_spread'

PriceTheoretical = 'theoretical_price'

Quote = 'quote'

QuotedSize = 'quotedsize'

Spread = 'spread'

SpreadRisk = 'spreadrisk'

SwapSpread = 'swap_spread'

Theta = 'theta'

Vega = 'vega'

WAL_Deterministic = 'detwal'

YCS_3M = 'libor_3m_spread'

YCS_6M = 'libor_spread'

YCS_GOV = 'govycs'

YCS_OIS = 'ycs'

Yield = 'yield'

class nordea_analytics.key_figure_names.CalculatedBondKeyFigureName(*args, **kwds)

Bases: enum.Enum

Bond key figure names that can be calculated in the service.

Must be lower case.

AccruedInterest = 'accint'

ASW_MM = 'aswmm'

AssetSwapSpread = 'asw'

ASW_PP = 'aswpp'

BPV = 'bpv'

BPVLadder = 'bpvladder'

CVX = 'cvx'

DeterministicSpread = 'deterministicspread'

ExpectedCashflow = 'expectedcashflow'

MacaulayDuration = 'macdur'

ModifiedDuration = 'moddur'

OAYield = 'oayield'

PriceClean = 'price'

PVonTS = 'pvonts'

Spread = 'spread'

SpreadRisk = 'spreadrisk'

VegaMatrix = 'vegamatrix'

VegaonTS = 'vegaonts'

Yield = 'yield'

class nordea_analytics.key_figure_names.HorizonCalculatedBondKeyFigureName(*args, **kwds)

Bases: enum.Enum

Bond key figure names that can be horizon calculated in the service.

Must be lower case.

BPV = 'bpv'

CVX = 'cvx'

PrePayments = 'prepayments'

PriceAtHorizon = 'price_at_horizon'

PriceClean = 'price'

ReturnInterest = 'return_interest'

Return on coupon payments (fixed or floating) in percentage value, given that interest rate follow the

ReturnInterestAmount = 'return_interest_amount'

Same as ReturnInterest, but in money value.

ReturnPrincipal = 'return_principal'

The return of the principal change, while the bond price rolls down the curve towards 100. This is driven by

ReturnPrincipalAmount = 'return_principal_amount'

Same as ReturnPrincipal, but in money value.

Spread = 'spread'

Yield = 'yield'

class nordea_analytics.key_figure_names.CalculatedRepoBondKeyFigureName(*args, **kwds)

Bases: enum.Enum

Repo Bond key figure names that can be calculated in the service.

Must be lower case.

ForwardPrice = 'forward_price'

ForwardYield = 'forward_yield'

Price = 'price'

RepoRate = 'repo_rate'

class nordea_analytics.key_figure_names.LiveBondKeyFigureName(*args, **kwds)

Bases: enum.Enum

Bond key figure names available live in the service.

ASWMM = 'asw mm'

BPV = 'bpv'

CVX = 'cvx'

FlexSpread = 'flex spread'

GovSpread = 'gov spread'

LiborSpread3M = 'libor 3m spread'

LiborSpread6M = 'libor 6m spread'

LiborSpread6MActual = 'libor 6m actual spread'

DestrSpread = 'destr spread'

Quote = 'quote'

Spread = 'spread'

SpreadRisk = 'spread risk'

SwapSpread = 'swap spread'

Yield = 'yield'

class nordea_analytics.key_figure_names.SwapKeyFigureName(*args, **kwds)

Bases: enum.Enum

Swap key figure names that can be calculated in the service.

BPV = 'bpv'

BPVLadder = 'bpvladder'

CVX = 'cvx'

FixedRatePaid = 'fixed_rate_paid'

FixedRateReceived = 'fixed_rate_received'

FloatingSpreadPaid = 'floating_spread_paid'

FloatingSpreadReceived = 'floating_spread_received'

ImpliedRate = 'implied_rate'

ImpliedSpread = 'implied_spread'

PVonTS = 'pvonts'

class nordea_analytics.key_figure_names.SwapHorizonKeyFigureName(*args, **kwds)

Bases: enum.Enum

Swap horizon key figure names that can be calculated in the service.

BPV = 'bpv'

BPVLadder = 'bpvladder'

CVX = 'cvx'

FixedRatePaid = 'fixed_rate_paid'

FixedRateReceived = 'fixed_rate_received'

FloatingSpreadPaid = 'floating_spread_paid'

FloatingSpreadReceived = 'floating_spread_received'

ImpliedRate = 'implied_rate'

ImpliedSpread = 'implied_spread'

PVonTS = 'pvonts'

ReturnInterest = 'return_interest'

Return on coupon payments in percentage value.

ReturnInterestAmount = 'return_interest_amount'

Same as ReturnInterest, but in money value.

ReturnPrincipal = 'return_principal'

The return of the principal change in percentage value.

ReturnPrincipalAmount = 'return_principal_amount'

Same as ReturnPrincipal, but in money value.