quantlib.indexes.ibor.usdlibor.
USDLibor¶
- class USDLibor(Period tenor, HandleYieldTermStructure ts=HandleYieldTermStructure())¶
Bases:
Libor
- 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
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 default IBOR for the market, modify attributes if provided
has_historical_fixing
(self, Date d)is_valid_fixing_date
(self, Date fixing_date)maturity_date
(self, Date valueDate)value_date
(self, Date fixingDate)