quantlib.indexes.ibor.libor.

Libor

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

Bases: IborIndex

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

Attributes:
business_day_convention

The business day convention.

currency
day_counter
end_of_month

Whether the end-of-month rule applies.

family_name
fixing_calendar

the calendar defining valid fixing dates

fixing_days
forwarding_term_structure

The curve used to forecast fixings.

joint_calendar
name

the name of the index

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)

from_name(market[, term_structure])

Create a default IBOR index for the given market.

has_historical_fixing(self, Date d)

is_valid_fixing_date(self, Date fixing_date)

maturity_date(self, Date valueDate)

value_date(self, Date fixingDate)