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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
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)
is_valid_fixing_date(self, Date fixing_date)
maturity_date(self, Date valueDate)
value_date(self, Date fixingDate)

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