Indexes

Interest Rate

IborIndex

ql.IborIndex(familyName, tenor, settlementDays, currency, fixingCalendar, convention, endOfMonth, dayCounter, =Handleql.YieldTermStructure())
ql.IborIndex('MyIndex', ql.Period('6m'), 2, ql.EURCurrency(), ql.TARGET(), ql.ModifiedFollowing, True, ql.Actual360())
ql.Libor('MyIndex', ql.Period('6M'), 2, ql.USDCurrency(), ql.TARGET(), ql.Actual360())
ql.Euribor(ql.Period('6M'))
ql.USDLibor(ql.Period('6M'))
ql.Euribor6M()

Derived Classes:

  • ql.Euribor()

Constructors for derived classes:

ql.Euribor(period)
ql.Euribor(period, yts)

OvernightIndex

ql.OvernightIndex(name, fixingDays, currency, calendar, dayCounter, =ql.YieldTermStructureHandle())
name = 'CNYRepo7D'
fixingDays = 1
currency = ql.CNYCurrency()
calendar = ql.China()
dayCounter = ql.Actual365Fixed()
overnight_index = ql.OvernightIndex(name, fixingDays, currency, calendar, dayCounter)

SwapIndex

ql.SwapIndex(familyName, tenor, settlementDays, currency, fixingCalendar, fixedLegTenor, convention, dayCounter, index, =Handleql.YieldTermStructure())

Derived Classes:

  • ql.ChfLiborSwapIsdaFix

  • ql.EuriborSwapIsdaFixA

  • ql.EuriborSwapIsdaFixB

  • ql.EuriborSwapIfrFix

  • ql.EurLiborSwapIfrFix

  • ql.EurLiborSwapIsdaFixA

  • ql.EurLiborSwapIsdaFixB

  • ql.GbpLiborSwapIsdaFix

  • ql.JpyLiborSwapIsdaFixAm

  • ql.JpyLiborSwapIsdaFixPm

  • ql.OvernightIndexedSwapIndex

  • ql.UsdLiborSwapIsdaFixAm

  • ql.UsdLiborSwapIsdaFixPm

Constructors for derived classes:

ql.EuriborSwapIsdaFixA(period)
ql.EuriborSwapIsdaFixA(period, yts)
ql.EuriborSwapIsdaFixA(period, forward_yts, discounting_yts)

SwapSpreadIndex

SwapSpreadIndex(familyName, swapIndex1, swapIndex2, gearing1=1.0, gearing2=-1.0)

Inflation

Zero Inflation

ql.{InflationIndex}(interpolated=bool)
ql.{InflationIndex}(bool, ZeroInflationTermStructure)

  • ql.UKRPI

  • ql.USCPI

  • ql.EUHICP

  • ql.EUHICPXT

YoY inflation

  • ql.YYEUHICP

  • ql.YYEUHICPXT

  • ql.YYFRHICP

  • ql.YYUKRPI

  • ql.YYUSCPI

  • ql.YYZACPI

Fixings

fixingDates = [cf.fixingDate() for cf in map(ql.as_floating_rate_coupon, loan)]
euribor3m.clearFixings()

euribor3m.addFixing(ql.Date(17, 7, 2018), -0.3)
euribor3m.addFixings([ql.Date(12, 7, 2018), ql.Date(13, 7, 2018)], [-0.3, -0.3])

[dt for dt in index.timeSeries().dates()]
[dt for dt in index.timeSeries().values()]

To get the fixing dates form an instrument:

swap3 = ql.MakeVanillaSwap(ql.Period('3y'), ql.Euribor6M(), 0.01, ql.Period("-2D"))
fixingDates = [cf.fixingDate() for cf in map(ql.as_floating_rate_coupon, swap3.floatingLeg())]

Indexes have calendars and will not accept invalid fixing dates:

index.isValidFixingDate(ql.Date(25,12,2019))
c = index.fixingCalendar()
c.name()

IndexManager

ql.IndexManager.instance().histories()

for dt, value in zip(im.getHistory('EURIBOR6M ACTUAL/360').dates(),im.getHistory('EURIBOR6M ACTUAL/360').values()):
    print(dt, value)


IndexManager.instance().clearHistory(index.name())