quantlib.index.Index

class Index

Bases: object

Abstract base class for indices

Warning

this class performs no check that the provided/requested fixings are for dates in the past, i.e. for dates less than or equal to the evaluation date. It is up to the client code to take care of possible inconsistencies due to “seeing in the future”

__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, ...)
is_valid_fixing_date(self, Date fixing_date)

Attributes

fixing_calendar	the calendar defining valid fixing dates
name	the name of the index
time_series	the fixing TimeSeries

add_fixing(self, Date fixingDate, Real fixing, bool force_overwrite=False)

add_fixings(self, list dates, list values, bool force_overwrite=False)

clear_fixings(self)

fixing(self, Date fixingDate, bool forecast_todays_fixing=False)

fixing_calendar

the calendar defining valid fixing dates

is_valid_fixing_date(self, Date fixing_date)

name

the name of the index

Warning

This method is used for output and comparison between indexes.

time_series

the fixing TimeSeries