quantlib.indexes.ibor_index.

OvernightIndex

class OvernightIndex(str family_name, Natural settlement_days, Currency currency, Calendar fixing_calendar, DayCounter day_counter, HandleYieldTermStructure yts=HandleYieldTermStructure())

Bases: IborIndex

Base class for overnight indexes.

Parameters:

family_namestr

The family name of the index.

settlement_daysint

The number of settlement days.

currencyCurrency

The currency of the index.

fixing_calendarCalendar

The calendar used for fixing dates.

day_counterDayCounter

The day counter for the index.

ytsHandleYieldTermStructure, optional

The yield term structure handle.

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.

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)