quantlib.indexes.ibor.libor.Libor

class Libor(basestring familyName, Period tenor, Natural settlementDays, Currency currency, Calendar financial_center_calendar, DayCounter dayCounter, YieldTermStructure ts=YieldTermStructure())

Bases: IborIndex

Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones LIBOR fixed by BBA.

__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)

from_name(market[, term_structure])

Create default IBOR for the market, modify attributes if provided

is_valid_fixing_date(self, Date fixing_date)

maturity_date(self, Date valueDate)

value_date(self, Date fixingDate)

Attributes

business_day_convention

currency

day_counter

end_of_month

family_name

fixing_calendar

the calendar defining valid fixing dates

fixing_days

forwarding_term_structure

joint_calendar

name

the name of the index

tenor

time_series

the fixing TimeSeries