quantlib.experimental.coupons.swap_spread_index.

SwapSpreadIndex

class SwapSpreadIndex(string family_name, SwapIndex swap_index1, SwapIndex swap_index2, Real gearing1=1., Real gearing2=-1.)

Bases: InterestRateIndex

Attributes:

currency

day_counter

family_name

fixing_calendar

the calendar defining valid fixing dates

fixing_days

gearing1

gearing2

name

the name of the index

swap_index1

swap_index2

tenor

time_series

the fixing TimeSeries

Methods

add_fixing(self, Date fixingDate, ...)
add_fixings(self, list dates, list values, ...)
clear_fixings(self)
fixing(self, Date fixingDate, ...)
fixing_date(self, Date valueDate)
forecast_fixing(self, Date fixing_date)
has_historical_fixing(self, Date d)
is_valid_fixing_date(self, Date fixing_date)
maturity_date(self, Date valueDate)
value_date(self, Date fixingDate)